ANNEX VIISupplementary provisions
ANNEX VII ‘ANNEX VII Results Supervisory Benchmark 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 C 106.00 INITIAL MARKET VALUATION IMV VaR, sVaR and PV 107,1 C 107.01 DETAILS VaR&SVaR 1 107,2 C 107.02 BASE 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 C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION Instrument number Instrument Modelled for Var + SVaR (YES/NO) Instrument Modelled for IRC (YES/NO) Instrument Modelled for Correlation Trading (YES/NO) Rationale for Exclusion Free text box Initial Market Valuation 010 020 030 040 050 060 070 C 107.01 - VaR, sVaR and PV. DETAILS Option Free text box 010 020 VaR 010 Methodology 020 Liquidity Horizon 030 Lenght of observation period 040 Data Weighting 050 Backtesting add-on 060 Regulatory add-on SVaR 070 Methodology 080 Liquidity Horizon 090 Regulatory add-on 100 Stressed VaR window time C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS Portfolio Date VaR sVaR PV 010 020 030 040 C 108.00- PROFIT & LOSS TIME SERIES Portfolio Date Daily P&L 010 020 C 109.01 - IRC. DETAILS OF THE MODEL Option Free text box Row Item 010 020 010 Number of modelling factors 020 Source of LGDs C 109.02 - IRC. DETAILS BY PORTFOLIO Portfolio Option Free text box Row Item 010 020 010 Liquidity Horizon 020 Source of PDs 030 Source of transition matrices C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE Portfolio Date IRC 010 020 C 110.01 - CT. DETAILS OF THE MODEL Option Free text box Row Item 010 020 010 Number of modelling factors 020 Source of LGDs C 110.02 - CT. DETAILS BY PORTFOLIO Portfolio Option Free text box Row Item 010 020 010 Liquidity Horizon 020 Source of PDs 030 Source of transition matrices C 110.03 - CT. APR BY PORTFOLIO/DATE Portfolio Date APR 010 020 ’