Flexible format disclosure

a

Points (a) and (d) of Article 435 (1) CRR

A description of the institution's strategies and processes to manage market risk, including:

b

Point (b) of Article 435 (1) CRR

A description of the structure and organisation of the market risk management function, including a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above, and that describes the relationships and the communication mechanisms between the different parties involved in market risk management.

c

Point (c ) of Article 435 (1) CRR

Scope and nature of risk reporting and measurement systems

a

RWEAs

Outright products

1

Interest rate risk (general and specific)

2

Equity risk (general and specific)

3

Foreign exchange risk

4

Commodity risk

Options

5

Simplified approach

6

Delta-plus approach

7

Scenario approach

8

Securitisation (specific risk)

9

Total

Flexible format disclosure

EU (a)

Article 455(c) CRR

Description of the procedures and systems implemented for the assurance of tradability of the positions included in the trading book in order to comply with the requirements of Article 104.

Description of the methodology used to ensure that the policies and procedures implemented for the overall management of the trading book are appropriate.

EU (b)

Article 455(c) CRR

For exposures from the trading and the non-trading book that are measured at fair value in accordance with the applicable accounting framework and that have their exposure value adjusted in accordance with Part Two, Title I, Chapter 2, Article 34 and Part Three, Title I, Chapter 3, Article 105 of the CRR (as well as the Commission Delegated Regulation (EU) No 2016/101), institutions shall describe systems and controls to ensure that the valuation estimates are prudent and reliable. These disclosures shall be provided as part of the market risk disclosures for exposures from the trading book.

Point (i) of Article 455(a) CRR

(A)  Institutions using VaR models and SVaR models must disclose the following information:

(a)

Point (i) of Article 455 (a) and Article 455 (b) CRR

Description of activities and risks covered by VaR and SVaR models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Article 455(b) CRR

Description of the scope of application of the VaR and SVaR models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, as well as the percentage of own funds requirements covered by the models or if the same models of VaR/SVaR are used for all entities with market risk exposure

Point (i) of Article 455(a) CRR

Characteristics of the models used, including:

(c)

General description of regulatory VaR and SVaR models

(d)

Discussion of the main differences, if any, between the model used for management purposes and the model used for regulatory purposes (10 day 99%) for VaR and SVaR models.

(e)

For VaR models:

(i)

Data updating frequency;

(ii)

Length of the data period that is used to calibrate the model. Describe the weighting scheme that is used (if any);

(iii)

How the institutions determines the 10-day holding period (for example, does it scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR?);

(iv)

Aggregation approach, which is the method for aggregating the specific and general risk (i.e. do the institutions calculate the specific charge as a stand-alone charge by using a different method than the one used to calculate the general risk or do the institutions use a single model that diversifies general and specific risk?);

(v)

Valuation approach (full revaluation or use of approximations);

(vi)

Whether, when simulating potential movements in risk factors, absolute or relative returns (or a mixed approach) are used (i.e. proportional change in prices or rates or absolute change in prices or rates).

(f)

For SVaR models, specify:

(i)

How the 10-day holding period is determined. For example, does the institution scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR? If the approach is the same as for the VaR models, the institutions may confirm this and refer to disclosure (e) (iii) above;

(ii)

The stress period chosen by the institution and the rationale for this choice;

(iii)

Valuation approach (full revaluation or use of approximations).

(g)

Point (iii) of Article 455(a) CRR

Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the VaR and SVaR models apply at the group level).

(h)

Point (iv) of Article 455(a) CRR

Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes.

Point (ii) of Article 455(a) CRR

(B)  Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) must disclose the following information:

(a)

Point (ii) of Article 455 (a) and Article 455 (b) CRR

Description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Article 455(b) CRR

Description of the scope of application of the IRC model for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure

(c)

Point (ii) of Article 455(a) CRR

General description of the methodology used for internal models for incremental default and migration risk, including:

(i)

Information about the overall modelling approach (notably, the use of spread-based models or transition matrix-based models);

(ii)

Information on the calibration of the transition matrix;

(iii)

Information about correlation assumptions;

(d)

Approach used to determine liquidity horizons;

(e)

Methodology used to achieve a capital assessment that is consistent with the required soundness standard;

(f)

Approach used in the validation of the models.

(g)

Point (iii) of Article 455(a) CRR

Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level).

(h)

Point (iv) of Article 455(a) CRR

Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes.

Point (ii) of Article 455(a) CRR

(C)  Institutions using internal models to measure own funds requirements for correlation trading portfolio (comprehensive risk measure) must disclosure the following information:

(a)

Point (ii) of Article 455 (a) and Article 455 (b) CRR

Description of risks covered by the comprehensive risk measure models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Article 455(b) CRR

Description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure

(c)

Point (ii) of Article 455(a) CRR

General description of the methodology used for correlation trading, including:

(i)

Information about the overall modelling approach (choice of model correlation between default/migrations and spread: (i) separate but correlated stochastic processes driving migration/default and spread movement; (ii) spread changes driving migration/default; or (iii) default/migrations driving spread changes);

(ii)

Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic);

(iii)

Information on the choice of whether to age positions (profits and losses based on the simulated market movement in the model calculated based on the time to expiry of each position at the end of the 1-year capital horizon or using their time to expiry at the calculation date);

(d)

Approach used to determine liquidity horizons.

(e)

Methodology used to achieve a capital assessment that is consistent with the required soundness standard.

(f)

Approach used in the validation of the models.

(g)

Point (iii) of Article 455(a) CRR

Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the comprehensive risk measure models apply at the group level).

(h)

Point (iv) of Article 455(a) CRR

Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the comprehensive risk measure internal models and modelling processes.

(i)

Point (f) of Article 455 CRR

Information on weighted average liquidity horizon for each subportfolio covered by the internal models for incremental default and migration risk and for correlation trading

a

b

RWEAs

Own funds requirements

1

VaR (higher of values a and b)

(a)

Previous day’s VaR (VaRt-1)

(b)

Multiplication factor (mc) x average of previous 60 working days (VaRavg)

2

SVaR (higher of values a and b)

(a)

Latest available SVaR (SVaRt-1))

(b)

Multiplication factor (ms) x average of previous 60 working days (sVaRavg)

3

IRC (higher of values a and b)

(a)

Most recent IRC measure

(b)

12 weeks average IRC measure

4

Comprehensive risk measure (higher of values a, b and c)

(a)

Most recent risk measure of comprehensive risk measure

(b)

12 weeks average of comprehensive risk measure

(c)

Comprehensive risk measure - Floor

5

Other

6

Total

a

b

c

d

e

f

g

VaR

SVaR

IRC

Comprehensive risk measure

Other

Total RWEAs

Total own funds requirements

1

RWEAs at previous period end

1a

Regulatory adjustment

1b

RWEAs at the previous quarter-end (end of the day)

2

Movement in risk levels

3

Model updates/changes

4

Methodology and policy

5

Acquisitions and disposals

6

Foreign exchange movements

7

Other

8a

RWEAs at the end of the disclosure period (end of the day)

8b

Regulatory adjustment

8

RWEAs at the end of the disclosure period

a

VaR (10 day 99%)

1

Maximum value

2

Average value

3

Minimum value

4

Period end

SVaR (10 day 99%)

5

Maximum value

6

Average value

7

Minimum value

8

Period end

IRC (99.9%)

9

Maximum value

10

Average value

11

Minimum value

12

Period end

Comprehensive risk measure (99.9%)

13

Maximum value

14

Average value

15

Minimum value

16

Period end