ANNEX VISupplementary provisions
ANNEX VI ‘ANNEX VI RESULTS SUPERVISORY BENCHMAR PORTFOLIOS Table of contents TEMPLATE RELATED INSTRUCTIONS 4956 C 106.00 – Initial Market Valuation and exclusion justification 4956 C107.01 – VaR & sVaR Non-CTP. Details 4956 C 107.02 – VaR, sVaR and PV — Non-CTP. Base Currency Results 4959 C 108.00 – Profit & Loss Time Series 4960 C 109.01 – IRC. Details of the Model 4961 C 109.02 – IRC. Details by Portfolio 4962 C 109.03 – IRC. Amount by Portfolio/Date 4963 C 110.01 – CT. Details of the Model. 4964 C 110.02 – CT. Details by Portfolio. 4964 C 110.03 – CT. APR by Portfolio/Date 4965 TEMPLATE RELATED INSTRUCTIONS C 106.00 – Initial Market Valuation and exclusion justification Column Label Legal reference Instructions 010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported. 020 Instrument Modelled for VaR and sVaR (YES/NO) Either YES or NO shall be reported. 030 Instrument Modelled for IRC (YES/NO) Either YES or NO shall be reported. 040 Instrument Modelled for Correlation Trading (YES/NO) Either YES or NO shall be reported. 050 Rationale for Exclusion Article 4 of Commission Implementing Regulation (EU) 2016/2070 One of the following shall be reported: (a) Model not authorised by Regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally; (d) Other rationale for exclusion. Please, explain that in column 060. 060 Free text box An institution may provide any additional information in this column. 070 Initial Market Valuation The mark-to-market value of each instrument on 26 September 2018 at 5:30 pm CET The cell shall be left blank if the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). C107.01 – VaR & sVaR Non-CTP. Details Row Label Legal reference Instructions 010 Methodology One of the following shall be reported in column 010: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (d) Combination/Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column. 020 Computation of 10-day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other Methodology. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 030 Length of observation period Article 365(1)(d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) 1 year; (b) more than 1 and up to 2 years; (c) more than 2 and up to 3 years; (d) more than 3 years. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 040 Data Weighting Article 365(1)(d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) Unweighted; (b) Weighted; (c) The higher of the metrics in points (a) and (b). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 050 Backtesting add-on Article 366(2) of Regulation (EU) No 575/2013 Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRR Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’) Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 070 Methodology One of the following shall be reported in column 010: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (d) Combination/Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column. 080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other Methodology. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 090 sVaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 100 Stressed VaR (i.e. sVaR) period Article 365(2) of Regulation (EU) No 575/2013 One of the following shall be reported in column 010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from; (e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period; (f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period; (g) Other choices for the stressed VaR calibration (please specify). Column 020 shall be used by the institution to provide the starting date (e.g. dd/mm/yyyy) in case of options (a) or (b) given in column 010; the starting dates (e.g. dd/mm/yyyy) used for each stressed VaR run in case of options (c) or (d) given in column 010; and, to provide more clarification on the 12-month period used for each stressed VaR run in case of options (e), (f) and (g) given in column 010. C 107.02 – VaR, sVaR and PV — Non-CTP. Base Currency Results Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 1 of Annex V The portfolio (both individual and aggregated) number taken from Annex V shall be reported. Column Label Legal reference Instructions 010 Date VaR, sVaR and Present Value (PV) results shall be reported at the following dates: (a) 21/1/2019; (b) 22/1/2019; (c) 23/1/2019; (d) 24/1/2019; (e) 25/1/2019; (f) 28/1/2019; (g) 29/1/2019; (h) 30/1/2019; (i) 31/1/2019; (j) 1/2/2019. 020 VaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory VaR obtained for each portfolio, without applying the ‘3+’ regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a VaR on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). 030 sVaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory sVaR obtained for each portfolio, without applying the ‘3+’ regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). 040 PV The present value (PV) for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a PV on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). C 108.00 – Profit & Loss Time Series This template shall be filled only by institutions that calculate VaR using historical simulation. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 1 of Annex V The Portfolio number (both individual and aggregated) taken from Annex V shall be reported. Column Label Legal reference Instructions 010 Date Article 365(1)(d) of Regulation (EU) No 575/2013 On each business day, according to the calendar in the institution's jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 010 with a minimum of 250 observations back from 1/2/2019 020 Daily P&L Institutions that calculate VaR using Historical Simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 010 with the end-of-day valuation on the previous business day). In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported if and only if there really was no change in the hypothetical value of the portfolio on a given business day). C 109.01 – IRC. Details of the Model Row Label Legal reference Instructions 010 Number of modelling factors EBA/GL/2012/3 The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following: (a) 1; (b) 2; (c) More than 2. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 020 Source of LGDs EBA/GL/2012/3 The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following: (a) Market Convention; (b) LGD used in IRB; (c) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column. C 109.02 – IRC. Details by Portfolio Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 1 of Annex V The portfolio number (both individual and aggregated) taken from Annex V, only for those portfolios where IRC is requested, shall be reported. Row Label Legal reference Instructions 10 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) 3 months; (b) 3 to 6 months; (c) 6 to 9 months; (d) 9 to 12 months. 20 Source of PDs EBA/GL/2012/3 The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020. 30 Source of transition matrices EBA/GL/2012/3 The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020. C 109.03 – IRC. Amount by Portfolio/Date Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 1 of Annex V The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where IRC is requested, shall be reported. Column Label Legal reference Instructions 010 Date IRC shall be reported at the following dates: (a) 21/1/2019; (b) 22/1/2019; (c) 23/1/2019; (d) 24/1/2019; (e) 25/1/2019; (f) 28/1/2019; (g) 29/1/2019; (h) 30/1/2019; (i) 31/1/2019; (j) 1/2/2019. 020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3 The regulatory IRC obtained for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). C 110.01 – CT. Details of the Model. Row Label Legal reference Instructions 010 Number of modelling factors Article 377 of Regulation (EU) No 575/2013 The number of modelling factors at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following: (a) 1; (b) 2; (c) More than 2. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. 020 Source of LGDs Article 377 of Regulation (EU) No 575/2013 The source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following: (a) Market Convention; (b) LGD used in IRB; (c) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column. C 110.02 – CT. Details by Portfolio. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Annex V The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, shall be reported. Row Label Legal reference Instructions 010 Liquidity Horizon Article 377(2) of Regulation (EU) No 575/2013 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) 3 months; (b) 3 to 6 months; (c) 6 to 9 months; (d) 9 to 12 months. 020 Source of PDs Article 377 of Regulation (EU) No 575/2013 The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020. 030 Source of transition matrices Article 377 of Regulation (EU) No 575/2013 The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Rating Agencies; (b) IRB; (c) Market implied; (d) Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column 020. C 110.03 – CT. APR by Portfolio/Date Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 3 of Annex V The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, shall be reported Column Label Legal reference Instructions 010 Date Article 377 of Regulation (EU) No 575/2013 All price risk (‘APR’) shall be reported at the following dates: (a) 21/1/2019; (b) 22/1/2019; (c) 23/1/2019; (d) 24/1/2019; (e) 25/1/2019; (f) 28/1/2019; (g) 29/1/2019; (h) 30/1/2019; (i) 31/1/2019; (j) 1/2/2019. 60 APR Article 377 of Regulation (EU) No 575/2013 The results obtained by applying the regulatory Correlation Trading Model to each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). ’