Price return basic Parameter return Parameter return performance parameter variance/volatility dividend Maturity bucket 1 : 0 < Maturity bucket 1 : 0 < Maturity bucket 1 : time to maturity < 1 month time to maturity < 3 0 < time to maturity Maturity bucket 2: 1 month months < 1 year < time to maturity < 3 3 Maturity bucket 2: Maturity bucket 2: months month2 < time to 1 year < time to 3 maturity < 6 mon6hs maturity < 2 years Maturity bucket 3: months < time to maturity < Maturity bucket 3: 3 Maturity bucket 3: 6 months months < time to 2 years < time to Maturity bucket 4: 6 maturity < 1 year maturity < 3 years months < time to maturity < Maturity bucket 4: 1 1 year year < time to maturity … Maturity bucket 5: 1 year < < 2 years time to maturity < 2 years Maturity bucket 5: 2 Maturity bucket m: Maturity bucket 6: 2 years years < time to maturity (n-1) years < n years < time to maturity < 3 years < 3 years … … Maturity bucket m: (n-1) years < n years Maturity bucket m: < years EUR 50m < ADNA a swap sub-class is defined by the following segmentation criteria: EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 < EUR 100m Calculation of thresholds should be Segmentation criterion 1 underlying type: single name, index, basket performed for each – considering EUR 100m < Segmentation criterion 2 - underlying single name, index, basket Portfolio the transactions ADNA < EUR EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 executed on financial Segmentation criterion 3 - parameter: price return basic performance parameter, 200m instruments parameter return dividend, parameter return variance, parameter return volatility belonging to the Segmentation criterion 4 time to maturity bucket of the swap defined as class – ADNA > EUR follows: EUR 1,00,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 200m
Price return basic performance parameter Maturity bucket 1 : 0 < time to maturity < 1 month Maturity bucket 2: 1 month < time to maturity < 3 months Maturity bucket 3: 3 months < time to maturity < 6 months Maturity bucket 4: 6 months < time to maturity < 1 year Maturity bucket 5: 1 year < time to maturity < 2 years Maturity bucket 6: 2 years < time to maturity < 3 years … Maturity bucket m: (n-1) years < n years Parameter return variance/volatility Maturity bucket 1 : 0 < time to maturity < 3 months Maturity bucket 2: 3 month2 < time to maturity < 6 mon6hs Maturity bucket 3: 3 months < time to maturity < 1 year Maturity bucket 4: 1 year < time to maturity < 2 years Maturity bucket 5: 2 years < time to maturity < 3 years … Maturity bucket m: < years Parameter return dividend Maturity bucket 1 : 0 < time to maturity < 1 year Maturity bucket 2: 1 year < time to maturity < 2 years Maturity bucket 3: 2 years < time to maturity < 3 years … Maturity bucket m: (n-1) years < n years Portfolio a swap sub-class is defined by the following segmentation criteria: Segmentation criterion 1 – underlying type: single name, index, basket Segmentation criterion 2 - underlying single name, index, basket Segmentation criterion 3 - parameter: price return basic performance parameter, parameter return dividend, parameter return variance, parameter return volatility Segmentation criterion 4 – time to maturity bucket of the swap defined as follows: Calculation of thresholds should be performed for each considering the transactions executed on financial instruments belonging to the EUR 50m < ADNA < EUR 100m EUR 250,000 EUR 300,000 EUR 1,250,000 EUR 1,500,000 EUR 100m < ADNA < EUR 200m EUR 500,000 EUR 550,000 EUR 2,500,000 EUR 3,000,000 ADNA > EUR 200m EUR 1,00,000 EUR 1,500,000 EUR 5,000,000 EUR 5,500,000 class
rts%202%20sept%202015.docx