ANNEX VII
Results Supervisory Benchmarking portfolios. MARKET RISK
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RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK |
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Template number |
Template code |
Name of the template /group of templates |
Short name |
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INITIAL MARKET VALUATION |
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106,1 |
C 106.00 |
INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION |
IMV |
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106,2 |
C 106.01 |
RISK SENSITIVITIES BY INSTRUMENT |
SENSITIVITIES |
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VaR, sVaR and PV |
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107,1 |
C 107.01 |
DETAILS |
VaR&SVaR 1 |
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107,2 |
C 107.02 |
EBA PORTFOLIO CURRENCY RESULTS |
VaR&SVaR 2 |
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PROFIT & LOSS TIME SERIES |
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108 |
C 108.00 |
PROFIT & LOSS TIME SERIES |
P&L |
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INCREMENTAL RISK CHARGE |
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109,1 |
C 109.01 |
IRC. DETAILS OF THE MODEL |
IRC 1 |
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109,2 |
C 109.02 |
IRC. DETAILS BY PORTFOLIO |
IRC 2 |
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109,3 |
C 109.03 |
IRC. AMOUNT BY PORTFOLIO/DATE |
IRC 3 |
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CORRELATION TRADING |
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110,1 |
C 110.01 |
CT. DETAILS OF THE MODEL |
CT 1 |
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110,2 |
C 110.02 |
CT. DETAILS BY PORTFOLIO |
CT 2 |
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110,3 |
C 110.03 |
CT. AMOUNT BY PORTFOLIO/DATE |
CT 3 |
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ASA (SBM & DRC) |
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120,1 |
C 120.01 |
SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO |
SBM 1 |
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120,2 |
C 120.02 |
SBM. OFR COMPOSITION BY PORTFOLIO |
SBM 2 |
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120,4 |
C 120.04 |
DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO |
DRC 1 |
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120,5 |
C 120.05 |
DRC. OFR COMPOSITION BY PORTFOLIO |
DRC 2 |
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120,6 |
C 120.06 |
ASA. OFR BY PORTFOLIO |
ASA OFR |
C 106.00 – INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION
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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 |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
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C 106.01 – RISK SENSITIVITIES BY INSTRUMENT
Instrument number
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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 |
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0010 |
0020 |
0030 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
110 |
120 |
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C 107.01 – VaR, sVaR and PV. DETAILS
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Option |
Free text box |
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0010 |
0020 |
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VaR |
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0010 |
Methodology |
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0020 |
Computation of 10-day Horizon |
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0030 |
Length of observation period |
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0040 |
Data Weighting |
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0050 |
Backtesting add-on |
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0060 |
VaR Regulatory add-on |
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SVaR |
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0070 |
Methodology |
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0080 |
Computation of 10-day Horizon |
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0090 |
SVaR Regulatory add-on |
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0100 |
SVaR period |
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C 107.02 – VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS
Portfolio
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Date |
VaR |
sVaR |
PV |
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0010 |
0020 |
0030 |
0040 |
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C 108.00 – PROFIT & LOSS TIME SERIES
Portfolio
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Date |
Daily P&L |
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0010 |
0020 |
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C 109.01 – IRC. DETAILS OF THE MODEL
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Option |
Free text box |
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Row |
Item |
0010 |
0020 |
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0010 |
Number of modelling factors |
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0020 |
Source of LGDs |
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C 109.02 – IRC. DETAILS BY PORTFOLIO
Portfolio
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Option |
Free text box |
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Row |
Item |
0010 |
0020 |
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0010 |
Liquidity Horizon |
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0020 |
Source of PDs |
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0030 |
Source of transition matrices |
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C 109.03 – IRC. AMOUNT BY PORTFOLIO/DATE
Portfolio
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Date |
IRC |
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0010 |
0020 |
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C 110.01 – CT. DETAILS OF THE MODEL
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Option |
Free text box |
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Row |
Item |
0010 |
0020 |
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0010 |
Number of modelling factors |
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0020 |
Source of LGDs |
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C 110.02 – CT. DETAILS BY PORTFOLIO
Portfolio
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Option |
Free text box |
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Row |
Item |
0010 |
0020 |
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0010 |
Liquidity Horizon |
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0020 |
Source of PDs |
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0030 |
Source of transition matrices |
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C 110.03 – CT. APR BY PORTFOLIO/DATE
Portfolio
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Date |
APR |
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0010 |
0060 |
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C 120.01 – SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO
Portfolio
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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 |
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0010 |
0020 |
0030 |
0040 |
0060 |
0070 |
0080 |
0090 |
110 |
120 |
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C 120.02 – SBM. OFR COMPOSITION BY PORTFOLIO
Portfolio
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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 |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
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C 120.04 – DRC. Market values and gross JTD amounts by Instrument/Portfolio
Portfolio
Integer
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Instrument number |
Risk class |
Bucket1 |
Bucket2 |
Obligor |
Credit quality category |
Default risk weight |
Seniority |
Maturity |
Recovery Rate |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
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Direction |
Attachment point (%) |
Detachment point (%) |
Reporting currency results |
EBA portfolio currency results |
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Notional |
P&L + Adjustment |
Gross JTD amount |
Currency |
Notional |
P&L + Adjustment |
Gross JTD amount |
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0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0200 |
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C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO
Portfolio
Integer
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Risk class |
Bucket1 |
Bucket2 |
Own funds requirements (Reporting currency results) |
Reporting currency |
Own funds requirements (EBA portfolio currency results) |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
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C 120.06 – ASA. OFR
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Portfolio number |
Reporting currency results |
EBA portfolio currency results |
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SBM OFR |
DRC OFR |
RRAO OFR |
SBM OFR |
DRC OFR |
RRAO OFR |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
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