ANNEX IV
‘ANNEX VII
Results Supervisory Benchmarking portfolios. MARKET RISK
RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK | |||
Template number | Template code | Name of the template /group of templates | Short name |
INITIAL MARKET VALUATION | |||
106,1 | C 106.00 | INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION | IMV |
106,2 | C 106.01 | RISK SENSITIVITIES BY INSTRUMENT | SENSITIVITIES |
VaR, sVaR and PV | |||
107,1 | C 107.01 | DETAILS | VaR&SVaR 1 |
107,2 | C 107.02 | EBA PORTFOLIO CURRENCY RESULTS | VaR&SVaR 2 |
PROFIT & LOSS TIME SERIES | |||
108 | C 108.00 | PROFIT & LOSS TIME SERIES | P&L |
INCREMENTAL RISK CHARGE | |||
109,1 | C 109.01 | IRC. DETAILS OF THE MODEL | IRC 1 |
109,2 | C 109.02 | IRC. DETAILS BY PORTFOLIO | IRC 2 |
109,3 | C 109.03 | IRC. AMOUNT BY PORTFOLIO/DATE | IRC 3 |
CORRELATION TRADING | |||
110,1 | C 110.01 | CT. DETAILS OF THE MODEL | CT 1 |
110,2 | C 110.02 | CT. DETAILS BY PORTFOLIO | CT 2 |
110,3 | C 110.03 | CT. AMOUNT BY PORTFOLIO/DATE | CT 3 |
ASA (SBM & DRC) | |||
120,1 | C 120.01 | SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO | SBM 1 |
120,2 | C 120.02 | SBM. OFR COMPOSITION BY PORTFOLIO | SBM 2 |
120,4 | C 120.04 | DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO | DRC 1 |
120,5 | C 120.05 | DRC. OFR COMPOSITION BY PORTFOLIO | DRC 2 |
120,6 | C 120.06 | ASA. OFR BY PORTFOLIO | ASA OFR |
C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION |
Instrument number | Instrument Modelled for Var + SVaR (True/False) | Instrument Modelled for IRC (True/False) | Instrument Modelled for Correlation Trading (True/False) | Rationale for Exclusion | Free text box | Initial Market Valuation |
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |
C 106.01 - RISK SENSITIVITIES BY INSTRUMENT |
Instrument number |
Risk factor identifier | Bucket | Additional identifier | Risk sensitivity (Reporting currency results) | Reporting currency | Risk sensitivity (EBA instrument currency results) | Pricing model | Sensitivities definition | Free text box | Additional identifier2 | Credit quality category |
0010 | 0020 | 0030 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 110 | 120 |
C 107.01 - VaR, sVaR and PV. DETAILS |
Option | Free text box | ||
0010 | 0020 | ||
VaR | |||
0010 | Methodology | ||
0020 | Computation of 10-day Horizon | ||
0030 | Length of observation period | ||
0040 | Data Weighting | ||
0050 | Backtesting add-on | ||
0060 | VaR Regulatory add-on | ||
SVaR | |||
0070 | Methodology | ||
0080 | Computation of 10-day Horizon | ||
0090 | SVaR Regulatory add-on | ||
0100 | SVaR period | ||
C 107.02 - VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS |
Portfolio |
Date | VaR | sVaR | PV |
0010 | 0020 | 0030 | 0040 |
C 108.00- PROFIT & LOSS TIME SERIES |
Portfolio |
Date | Daily P&L |
0010 | 0020 |
C 109.01 - IRC. DETAILS OF THE MODEL |
Option | Free text box | ||
Row | Item | 0010 | 0020 |
0010 | Number of modelling factors | ||
0020 | Source of LGDs | ||
C 109.02 - IRC. DETAILS BY PORTFOLIO |
Portfolio |
Option | Free text box | ||
Row | Item | 0010 | 0020 |
0010 | Liquidity Horizon | ||
0020 | Source of PDs | ||
0030 | Source of transition matrices | ||
C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE |
Portfolio |
Date | IRC |
0010 | 0020 |
C 110.01 - CT. DETAILS OF THE MODEL |
Option | Free text box | ||
Row | Item | 0010 | 0020 |
0010 | Number of modelling factors | ||
0020 | Source of LGDs | ||
C 110.02 - CT. DETAILS BY PORTFOLIO |
Portfolio |
Option | Free text box | ||
Row | Item | 0010 | 0020 |
0010 | Liquidity Horizon | ||
0020 | Source of PDs | ||
0030 | Source of transition matrices | ||
C 110.03 - CT. APR BY PORTFOLIO/DATE |
Portfolio |
Date | APR |
0010 | 0060 |
C 120.01 - SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO |
Portfolio |
Instrument number | Risk factor identifier | Bucket | Additional identifier | Risk sensitivity (Reporting currency results) | Reporting currency | Risk sensitivity (EBA portfolio currency results) | Risk weight | Additional identifier2 | Credit quality category |
0010 | 0020 | 0030 | 0040 | 0060 | 0070 | 0080 | 0090 | 110 | 120 |
C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO |
Portfolio |
Risk class | Risk Component | Correlations scenario | Own funds requirements (Reporting currency results) | Reporting currency | Own funds requirements (EBA portfolio currency results) | Positions without optionality subjected to curvature risk own funds requirements | Base currency approach applied for foreign-exchange risk delta and curvature | Division of curvature risk components for foreign-exchange risk by scalar | Submission of SBM validation portfolio results | Free text box |
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0950 | 0100 |
C 120.04 - DRC. Market values and gross JTD amounts by Instrument/Portfolio |
Portfolio | ||
Integer |
Instrument number | Risk class | Bucket1 | Bucket2 | Obligor | Credit quality category | Default risk weight | Seniority | Maturity | Recovery Rate | Direction | Attachment point (%) | Detachment point (%) | Reporting currency results | EBA portfolio currency results | |||||
Notional | P&L + Adjustment | Gross JTD amount | Currency | Notional | P&L + Adjustment | Gross JTD amount | |||||||||||||
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 |
C 120.05 - DRC. OFR COMPOSITION BY PORTFOLIO |
Portfolio | ||
Integer |
Risk class | Bucket1 | Bucket2 | Own funds requirements (Reporting currency results) | Reporting currency | Own funds requirements (EBA portfolio currency results) |
0010 | 0020 | 0030 | 0040 | 0050 | 0060 |
C 120.06 - ASA. OFR |
Portfolio number | Reporting currency results | EBA portfolio currency results | ||||
SBM OFR | DRC OFR | RRAO OFR | SBM OFR | DRC OFR | RRAO OFR | |
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |