ANNEX VISupplementary provisions
ANNEX VI ‘ANNEX VI RESULTS SUPERVISORY BENCHMARK PORTFOLIOS TEMPLATE RELATED INSTRUCTIONS 2833 C 106.00 – Initial Market Valuation and exclusion justification 2833 C 107.01 – VaR & sVaR Non-CTP. Details 2834 C 107.02 – VaR, sVaR and PV - Non-CTP. Base Currency Results 2836 C 108.00 – Profit & Loss Time Series 2837 C 109.01 – IRC. Details of the Model 2838 C 109.02 – IRC. Details by Portfolio 2839 C 109.03 – IRC. Amount by Portfolio/Date 2840 C 110.01 – CT. Details of the Model. 2840 C 110.02 – CT. Details by Portfolio. 2841 C 110.03 – CT. APR by Portfolio/Date 2842 TEMPLATE RELATED INSTRUCTIONS C 106.00 – Initial Market Valuation and exclusion justification Column Label Legal reference Instructions 0010 Instrument number Section 2 of Annex V The instrument number taken from Annex V shall be reported. 0020 Instrument modelled for VaR and sVaR (TRUE/FALSE) Either TRUE or FALSE shall be reported. 0030 Instrument modelled for IRC (TRUE/FALSE) Either TRUE or FALSE shall be reported. 0040 Instrument modelled for correlation trading (TRUE/FALSE) Either TRUE or FALSE shall be reported. 0050 Rationale for exclusion Article 3 (2) 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 rationale in column 0060. 0060 Free text box An institution may provide any additional information in this column. 0070 Initial market valuation (“IMV”) The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Annex V, Section 1, point (b). The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero). C 107.01 - VaR & sVaR Non-CTP. Details. Row Label Legal reference Instructions 0010 - 0060 VaR 0010 Methodology One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020. 0020 Computation of 10-day horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010. 0030 Length of observation period Article 365(1) point (d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Up to 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. The institution shall use column 0020 to clarify the answer given in column 0010. 0040 Data Weighting Article 365(1) point (d) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Unweighted (VaR data weighting); (b) Weighted (VaR data weighting); (c) Higher of weighted and unweighted (VaR data weighting) in points (a) and (b). The institution shall use column 0020 to clarify the answer given in column 0010. 0050 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 of Article 366 (2) of Regulation (EU) No 575/2013 The institution shall use column 0020 to clarify the answer given in column 0010. 0060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (“at least 3”) VaR 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 Article 366 (2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3. The institution shall use column 0020 to clarify the answer given in column 0010. 0070-0100 SVaR (i.e. Stressed VaR) 0070 Methodology One of the following shall be reported in column 0010: (a) Historical simulation; (b) Monte Carlo simulation; (c) Parametric methodology; (d) Combination / other methodology (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. 0080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other methodology. The institution shall use column 0020 to clarify the answer given in column 0010. 0090 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 Article 366 (2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable). The institution shall use column 0020 to clarify the answer given in column 0010. 0100 SVaR period Article 365(2) of Regulation (EU) No 575/2013 One of the following shall be reported in column 0010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020; (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). The institution shall use column 0020 to provide the starting date in the format of “dd/mm/yyyy” in case of options (a) or (b) given in column 0010 and the starting dates in the format “dd/mm/yyyy” used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010. C 107.02 - VaR, sVaR and PV - Non-CTP. Base Currency Results. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V shall be reported. Column Label Legal reference Instructions 0010 Date VaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the “RM initial reference date” and the “RM final reference date” (as specified in Annex V, Section 1, point (b)). The “dd/mm/yyyy” convention shall be adopted to report the dates. 0020 VaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory VaR obtained for each portfolio, without applying the “at least 3” regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). 0030 sVaR Article 365 of Regulation (EU) No 575/2013 The 10-day regulatory sVaR obtained for each portfolio, without applying the “at least 3” regulatory multiplication factor, shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). 0040 PV The present value (PV) for each portfolio shall be reported. Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). C 108.00 - Profit & Loss Time Series Template C 108.00 (“Profit & Loss Time Series”) shall be completed only by institutions that calculate VaR using historical simulation. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation shall be reported. Column Label Legal reference Instructions 0010 Date Article 365(1) point (d) of Regulation (EU) No 575/2013 On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from 29 January 2021 and going backward. 0020 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 0010 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 only where there 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 0010 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 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 0020 to clarify the answer given in column 0010. 0020 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 source of LGD (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column. C 109.02 – IRC. Details by Portfolio Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported. Row Label Legal reference Instructions 0010 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013 EBA/GL/2012/3 The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following: (a) Up to 3 months; (b) More than 3 and up to 6 months; (c) More than 6 and up to 9 months; (d) More than 9 and up to 12 months. 0020 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 PDs; (d) Other source of PDs (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020. 0030 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 transition matrices; (d) Other sources of transition matrices (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020. C 109.03 – IRC. Amount by Portfolio/Date. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported. Column Label Legal reference Instructions 0010 Date IRC shall be reported for all the 10 business days between the “RM initial reference date” and the “RM final reference date”, as specified in Annex V, Section 1, point (b). The “dd/mm/yyyy” convention shall be adopted to report the dates. 0020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013 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 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero). C 110.01 – CT. Details of the Model. Row Label Legal reference Instructions 0010 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 modelling factor; (b) 2 modelling factors; (c) More than 2 modelling factors. The institution shall use column 0020 where it wants to clarify the answer given in column 0010. 0020 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 sources of LGD (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column. C 110.02 – CT. Details by Portfolio. Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Sections 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where APR is requested, shall be reported. Row Label Legal reference Instructions 0010 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) Up to 3 months; (b) More than 3 and up to 6 months; (c) More than 6 and up to 9 months; (d) More than 9 and up to 12 months. 0020 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 PDs; (d) Other source of PDs (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. 0030 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 transition matrices; (d) Other source of transition matrices (please specify). The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020. C 110.03 – CT. APR by Portfolio/Date Instructions concerning sheets (z-axis) Label Legal reference Instructions Portfolio Section 3 and 4 of Annex V to this Implementing Regulation The portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where APR is requested, shall be reported Column Label Legal reference Instructions 0010 Date Article 377 of Regulation (EU) No 575/2013 All price risk (“APR”) shall be reported for all the 10 business days between the “RM initial reference date” and the “RM final reference date” as referred to in Annex V, section 1, point b). The “dd/mm/yyyy” convention shall be adopted to report the dates. 0060 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 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).’