Index IndexConstraints ConstraintsDPM Map DPM Map

eba_tC_32.02.a - C 32.02.a

C 32.02.a
Category level AVATotal AVA
Market price uncertaintyClose-out costsModel risk
Of which: calculated using the expert based approachOf which: calculated using the expert based approachOf which: calculated using the expert based approach
0010002000300040005000600110
Total core approach0010
Of which: trading book0020
Portfolios under articles 9 to 17 - total category level post-diversification0030
Total category level pre-diversification0040
Of which: unearned credit spreads AVA0050
Of which: investment and funding costs AVA0060
Interest rates0090
Foreign exchange0100
Credit0110
Equities0120
Commodities0130
(-) Diversification benefits0140
(-) Diversification benefit calculated using method 10150
(-) Diversification benefit calculated using method 20160
Memorandum item: pre-diversification AVAs reduced by more than 90% by diversification under method 20170
Portfolios under the fall-back approach0180
100% of net unrealised profit0190
10% of notional value0200
25% of inception value0210

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