ANNEX IVSupplementary provisions
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 C 106.00 INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION IMV 106,01 C 106.01 RISK SENSITIVITIES BY INSTRUMENT SENSITIVITIES 106,02 C 106.02 SBM. OFR COMPOSITION BY SBM VALIDATION PORTFOLIO SBM Validation 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) 120,01 C 120.01 SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO SBM 1 120,02 C 120.02 SBM. OFR COMPOSITION BY PORTFOLIO SBM 2 120,04 C 120.04 DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO DRC 1 120,05 C 120.05 DRC. OFR COMPOSITION BY PORTFOLIO DRC 2 120,06 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 106.02 - SBM. OFR COMPOSITION BY SBM VALIDATION PORTFOLIO Portfolio Risk class Risk Component Correlations scenario Own funds requirements (Reporting currency results) Submission of SBM validation portfolio results Free text box 0010 0020 0030 0040 0050 0060 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 Free text box 0010 0020 0030 0040 0050 0060 0070 0080 0090 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 ’