LegalizeCommission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance. )
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Portfolio number Risk factor | Portfolios | Currency | Risk Metrics requested |
|---|---|---|---|
| Equity Portfolios | Equity Portfolios | Equity Portfolios | Equity Portfolios |
| 1 Equity | Equity index futures Long delta — Long 30 contracts ATM, last trading date 17 March 2017, delivery date 20 March 2017, FTSE 100 index futures (1 contract = 10 underlying) * The futures price is based on the index level at NYSE Liffe London market close on 13 October 2016.* | GBP | VaR and sVaR |
| 2 Equity | Bullish leveraged trade Long gamma and long vega — Long 100 contracts OTC Apple (AAPL US Equity) OTM 6-month call options (1 contract = 100 shares underlying) * The strike price is out-of-the-money by 10 % relative to the stock price at market close on 13 October 2016.* | USD | VaR and sVaR |
| 3 Equity | Volatility trade #1 Short short-term vega & long long-term vega — Short straddle 6-month ATM S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlying) — Long straddle 2-year ATM S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlying) * The strike price is based on the index level at NYSE at 4:30 pm New York on 13 October 2016. | USD | VaR and sVaR |
| 4 Equity | Volatility trade #2 (smile effect) Long/short puts on FTSE 100 — Long 40 contracts of put options on FTSE 100 index (with a strike price that is 10 % OTM based on the end-of-day index value), last trading date 17 March 2017, delivery date 20 March 2017 (1 contract = 10 underlying) — Short 40 contracts of put options on FTSE 100 index (with a strike price that is 10 % ITM based on the end-of-day index value), last trading date 17 March 2017, delivery date 20 March 2017 (1 contract = 10 underlying) * The strike price is based on the index level at NYSE Liffe London market close on 13 October 2016. | GBP | VaR and sVaR |
| 5 Equity | Equity spot and short call position (‘covered call’) Long 50 000 equity shares Generali SPA (G IM Equity) at the stock price at market close on 13 October 2016. Sell 6-month Call option on Generali SPA (G IM Equity) for 50 000 equity shares with a strike price that is 10 % above the price specified previously. | EUR | VaR and sVaR |
| 6 Equity | Collar Strategy Long 10 000 equity shares Sanofi (SAN FP Equity) at the stock price at market close on 13 October 2016. Sell 10 % OTM 6-month Call and Buy 10 % OTM 6-month Put for 10 000 equity shares Sanofi relative to the above specified price. | EUR | VaR and sVaR |
| 7 Equity | Long Strangle 12-month maturity Buy 12-month 10 % OTM Call on 10 000 equity shares Aviva Plc. (AV/LN Equity) relative to the stock price at market close on 13 October 2016. Buy 12-month 10 % OTM Put for 10 000 equity shares Aviva Plc. (AV/LN Equity) relative to the stock price at market close on 13 October 2016 | GBP | VaR and sVaR |
| Interest Rate | Interest Rate | Interest Rate | Interest Rate |
| 8 IR | Curve flattener trade Long long-term and short short-term treasuries — Long EUR 5 million 10-year German Treasury bond (ISIN: DE0001102382, expiry 15 August 2025) — Short EUR 20 million 2-year German Treasury note (ISIN:DE0001141679, expiry 12 October 2018) | EUR | VaR, sVaR and IRC |
| 9 IR | Interest rate swap — Receive fixed rate and pay floating rate — Fixed leg: receive annually — Floating leg: 3-month Euribor rate, pay quarterly — Notional: EUR 5 million — Roll convention and calendar: standard — Effective date: 13 October 2016 (i.e. rates to be used are those at the market close on 13 October 2016) — Maturity date: 13 October 2026 | EUR | VaR and sVaR |
| 10 IR | Two-year swaption on ten-year interest rate swap — Seller of an OTC receiver swaption with maturity of two years on the interest rate swap described in row 9 but with a modified effective date and maturity date. — Effective date: 13 October 2016 — Expiry date (of swaption): 14 October 2018 — Maturity date (of the underlying swap): 13 October 2028 — Premium paid at expiry — Cash settled * The strike price is based on the IRS rate as per row 9 (i.e. the strike price is the fixed rate as per row 9) * The institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, it will receive the fixed rate while the institution will receive the floating rate.* | EUR | VaR and sVaR |
| 11 IR | Interest rate swap USD — Receive fixed rate and pay floating rate — Fixed leg: receive annually — Floating leg: 1-year USD Libor rate, pay yearly — Notional: USD 5 million — Roll convention and calendar: standard — Effective date 13 October 2016 (i.e. rates to be used are those at the market close on 13 October 2016) — Maturity date: 13 October 2026 | USD | VaR and sVaR |
| 12 IR | Inflation zero coupon swap CPTFEMU index 10Y maturity par zero coupon swap See details in Section 2.1 of this Annex. | EUR | VaR and sVaR |
| FX | FX | FX | FX |
| 13 FX | Covered FX call Short EUR/USD and short put EUR call USD option — Short 6-month EUR/USD forward contracts (i.e. long USD short EUR), cash-settled, with USD 20 million notional purchased at the EUR/USD ECB reference rate as of end of day 13 October 2016 — Short 6-month put EUR call USD option notional USD 40 million (i.e. short USD against EUR), cash-settled, with strike price corresponding to the six-month forward exchange rate as of end of day 13 October 2016 — Effective date: 13 October 2016 — Expiry date: 13 April 2017 | EUR | VaR and sVaR |
| 14 FX | Mark-to-market cross-currency basis swap 2 Year 3-month USD Libor vs 3-month Euribor swap See details in Section 2.2 of this Annex. | EUR | VaR and sVaR |
| 15 FX | Knock-out option Vanilla option that ceases to exist if the underlying spot breaches a predetermined barrier before maturity, cash-settled. See details in Section 2.3 of this Annex. | EUR | VaR and sVaR |
| 16 FX | Double no touch option Digital option that pays a predetermined amount if the spot does not touch any of the barriers during the life of the option, cash-settled. See details in Section 2.4 of this Annex. | EUR | VaR and sVaR |
| Commodity | Commodity | Commodity | Commodity |
| 17 Commodity | Gold forwards position Long short-term and Short long-term contracts Long 3 500 000 6-month ATM OTC London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3 500 troy ounces) Short 4 300 000 1-year ATM OTC London Gold Forwards contracts (Notional: 4 300 troy ounces) | USD | VaR and sVaR |
| 18 Commodity | Short oil put options Short 30 contracts of 6-month OTC WTI Crude Oil puts with strike = 12-month end-of-day forward price on 13 October 2016 (1 contract = 1 000 barrels, total notional 30 000 barrels) | USD | VaR and sVaR |
| Credit Spread | Credit Spread | Credit Spread | Credit Spread |
| 19 Credit Spread | Sovereign CDS portfolio Short protection via CDS on five countries — Short EUR 2 million per single-name 5year CDS (total 10 million notional) on the following countries: — effective date: 13 October 2016 — restructuring clause: FULL Country currency Italy USD UK USD Germany USD France USD US EUR | EUR | VaR, sVaR and IRC |
| 20 Credit Spread | Sovereign bond/CDS portfolio Sovereign bond basis portfolio on five countries — Long EUR 2 million per single-name 5 year CDS (total 10 million notional) on the following countries: Italy, UK, Germany, France, US as in portfolio in row 19 — Long EUR 2 million per single-name 5 year bonds (total 10 million notional) on the following countries: Italy, UK, Germany, France, US (as identified in the following table) — effective date 13 October 2016 — to convert the notional of the non-euro bonds use the FX spot as at end of day 13 October 2016 Identifier Description IT0004966401 BTP 1 May 2021 DE0001135457 BUND 4 September 2021 GB00B4RMG977 GILT 7 September 2021 FR0010192997 OAT 25 April 2021 US912828D721 TBOND 31 August 2021 | EUR | VaR, sVaR and IRC |
| 21 Credit Spread | Sector concentration portfolio Short protection via CDS on 6 insurance conglomerates — Short 1 million notional per single-name 5 year CDS (total EUR 6 million notional) on the following companies — effective date 13 October 2016 Name Currency Doc clause Generali SpA EUR MM Allianz EUR MM AXA EUR MM Aegon EUR MM Aviva EUR MM Swiss Rinsurance EUR MM | EUR | VaR, sVaR and IRC |
| 22 Credit Spread | Diversified index portfolio Short protection via CDS index Short EUR 10 million notional iTraxx 5-year Europe SF index,on-the-run Series effective date 13 October 2016 | EUR | VaR, sVaR and IRC |
| 23 Credit Spread | Diversified index portfolio (higher concentration) Short protection via CDS index — Short EUR 5 million notional iTraxx 5-year Europe SF index,on-the-run Series, — Short EUR 5 million notional (equally weighted) on the following five financials belonging to the iTraxx 5-year Europe SF index,on the run Series, CDS name Currency Doc clause Allianz SE CDS EUR SR 5Y EUR MM AXA CDS EUR SR 5Y EUR MM Generali Assicurazioni CDS EUR SR 5Y EUR MM AEGON N.V. CDS EUR SR 5Y EUR MM Aviva Plc CDS EUR SR 5Y EUR MM Effective date: 13 October 2016 * Each single name CDS shall have a notional of EUR 1 million.* | EUR | VaR, sVaR and IRC |
| 24 Credit Spread | Diversified corporate portfolio Short protection via CDS on 10 European corporates — Short EUR 1 million notional per single-name 5 year CDS (total EUR 10 million notional) on the following 10 companies (for USD CDS use the exchange rate at 13 October 2016): Name Currency Total SA EUR Telefonica SA EUR Siemens EUR Royal Dutch Shell EUR Unilever EUR Airbus Group EUR Bayer AG EUR Vodafone EUR Enel SpA EUR Roche EUR | EUR | VaR, sVaR and IRC |
| 25 Credit Spread | Index basis — Short EUR 5 million notional iTraxx 5-year Europe SF index,on the run Series, — Effective date: 13 October 2016 Long EUR 5 million notional on all constituents of iTraxx 5-year Europe SF index,on–the-run Series (i.e. the aggregate notional is EUR 5 million and all names are equally weighted) Effective date: 13 October 2016 | EUR | VaR, sVaR and IRC |
| 26 Credit Spread | CDS bond basis — Long bonds EUR 2 million per single-name 5 year bonds on 3 EU Corporates. ISIN Security name XS0647298883 ENEL SPA 7 December 2021 BBG0000DZMN8 VODAFONE GROUP PLC 20 January 2022 FR0011380476 AXA SA 15 March 2021 — Long protection via CDS on the same names (EUR 2 million per single-name 5 year). Name Currency Doc clause Enel SpA EUR MM Vodafone Group PLC EUR MM AXA EUR MM | EUR | VaR, sVaR and IRC |
| 27 Credit Spread | Short index put on ITraxx Europe Crossover on-the-run See details in Section 2.5 of this Annex. | EUR | VaR, sVaR and IRC |
| 28 Credit Spread | Quanto CDS on Spain with delta hedge See details in Section 2.6 of this Annex. | EUR | VaR, sVaR and IRC |
| All-in portfolios | All-in portfolios | All-in portfolios | All-in portfolios |
| 29 | All-in portfolio (1) A portfolio made of the portfolios in rows 1 to 28 | EUR | VaR, sVaR and IRC |
| 30 | All-in Equity portfolio (2) A portfolio made of the equity portfolios in rows 1 to 7 | EUR | VaR and sVaR |
| 31 | All-in IR portfolio (3) A portfolio made of the interest rate portfolios in rows 8 to 12 | EUR | VaR and sVaR |
| 32 | All-in FX portfolio (4) A portfolio made of the FX portfolios in rows 13 to 16 | EUR | VaR and sVaR |
| 33 | All-in Commodity portfolio (5) A portfolio made of the commodity portfolios in rows 17 and 18 | EUR | VaR and sVaR |
| 34 | All-in Credit Spread portfolio (6) A portfolio made of the credit spread portfolios in rows 19 to 28 | EUR | VaR, sVaR and IRC |
Section 2: Details for portfolios
2.1. Details for portfolio n. 12: CPTFEMU index 10Y maturity zero coupon swap
| Contract date | : | 13 October 2016 |
| Payer of fixed | : | Participating institution |
| Payer of HICP XT Float | : | Counterparty |
| Notional amount | : | EUR 10 000 000,00 |
| Start date | : | 13 October 2016 |
| Maturity date | : | 13 October 2026 |
Fixed rate details
| Fixed rate | 2,000 per cent |
| Payment day convention | Modified Following |
| Payment days | Target |
| Fixed payment dates | 13 October 2026 |
HICP XT Float rate details
| Float rate | Target |
| Frequency | At maturity in arrears |
| Index name | Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA |
| Payment days | 13 October 2026 |
HICP XT Fixed rate calculation method
Notional amount * [(1 + Fixed rate)n – 1]
HICP XT Floating rate calculation method
Notional amount * [(Index(end)/Index(start)) – 1]
Index (end) = HICP XT October 2026 Index unrevised
Index (start) = HICP XT October 2016 Index unrevised
There is no floor.
2.2 Details for portfolio n. 14: Mark-to-market (resettable) cross-currency basis swap
| Trade date | : | 13 October 2016 |
| Maturity date | : | 15 October 2018 |
| Business day convention | : | Modified Following |
| Reset dates | : | Each quarter starting from 13 October 2016 |
| Payment dates | : | Quarterly |
| Notional EUR (constant currency amount) | : | EUR 20 000 000 |
| Notional USD (variable currency amount) | : | An amount corresponding to EUR 20 000 000 according to the EUR/USD spot exchange rate at the beginning of each interest period |
| Mark-to-market amount | : | The difference between the variable currency amount of the current interest period and the variable currency amount of the previous interest period. |
| Interest period | : | From the previous payment date (inclusive) to the next payment date (exclusive) |
| Party A (variable currency payer) | : | Counterparty |
| Party B (constant currency payer) | : | Participating institution |
| Party A pays | : | USD 3M Libor on the variable currency amount (USD) USD 3M Libor: 3-month Libor flat as quoted on Reuters page Libor01, 11:00 am London time, fixed 2 business days prior to the first day of each interest period |
| Party B pays | : | EUR 3M Euribor minus 20 basis points on the constant currency amount (EUR) EUR 3M Euribor: 3-month Euribor as quoted on Reuters page Euribor01, 11:00 am London time, fixed 2 business days prior to the first day of each interest period At each reset date party A will pay to party B the mark-to-market amount, if negative. At each reset date party A will receive from party B the mark-to-market amount, if positive. |
Initial exchange
| Initial exchange date | : | Trade date |
| EUR initial exchange amount | : | EUR 20 000 000 |
| USD initial exchange amount | : | USD equivalent to EUR 20 000 000 |
Final exchange
| Final exchange date | : | Maturity date |
| EUR final exchange amount | : | EUR 20 000 000,00 |
| USD final exchange amount | : | The variable currency amount determined for the final calculation period |
2.3 Details for portfolio n. 15: Knock-out currency option
| Trade date | : | 13 October 2016 |
| Buyer | : | Participating institution (Party B) |
| Seller | : | Client (Party A) |
| Currency option style | : | European |
| Currency option type | : | EUR Call USD Put |
| Call currency & call currency amount | : | EUR 15 000 000,00 |
| Put currency & put currency amount | : | Equivalent amount of EUR 15 000 000,00 based on EUR/USD exchange rate on 13 October 2016, New York closing time |
| Strike price | : | EUR/USD exchange rate on 13 October 2016, New York closing time |
| Expiration date | : | 13 October 2017 |
| Expiration time | : | 10:00 a.m. New York time |
| Automatic exercise | : | Applicable |
| Settlement | : | Non-Deliverable |
| Settlement date | : | 20 October 2017 |
| Barrier event | : | Applicable |
| Event type | : | Knock-out |
| Spot exchange rate direction | : | Greater than or equal to the barrier level |
| Initial spot price | : | value of EUR/USD on 13 October 2015 |
| Barrier level | : | 120 % of the initial spot price (USD/EUR) |
| Event period start date and time | : | Trade date at the time of execution hereof |
| Event period end date and time | : | Expiration date at the Expiration Time |
2.4 Details for portfolio n. 16: Double no touch binary currency option
| Trade Date | : | 13 October 2016 |
| Buyer | : | Participating institution (Party B) |
| Seller | : | Client [Party A] |
| Currency option style | : | Binary |
| Expiration date | : | 13 October 2017 |
| Expiration time | : | 10:00 AM New York time |
| Automatic exercise | : | Applicable |
| Settlement | : | Non-deliverable |
| Settlement amount | : | EUR 1 000 000,00 |
| Settlement date | : | 20 October 2017 |
| Barrier event | : | Applicable |
| Event type | : | Double No-Touch Binary |
| Initial spot price | : | Level of USD/EUR on 13 October 2016 |
| Upper barrier level | : | 120 % of the initial spot price (USD/EUR) |
| Lower barrier level | : | 80 % of the initial spot price (USD/EUR) |
| Event period start date and time | : | Trade date at the time of execution hereof |
| Event period end date and time | : | Expiration date at the expiration time |
| Business day convention | : | Following |
2.5 Details for portfolio n. 27: Index put on ITraxx Europe Crossover
| Buyer | : | Counterparty |
| Seller | : | Participating institution |
| Option type | : | Put (i.e. right to sell an index for which we receive the fixed coupon leg) |
| Trade date | : | 13 October 2016 |
| Maturity | : | 15 April 2017 |
| Reference | : | ITRAXX-Xover ‘on-the-run’ |
| Underlying end | : | Related reference maturity |
| Option style | : | European |
| Option strike | : | 500.00 bp |
| Notional | : | EUR 10 000 000,00 |
2.6 Details for portfolio n. 28: Quanto Euro CDS on Spain with USD delta hedge
Quanto CDS General Terms:
| Trade date | : | 13 October 2016 |
| Effective date | : | 13 October 2016 |
| Scheduled termination date | : | 18 December 2021 |
| Protection seller | : | Counterparty |
| Protection buyer | : | Participating institution |
| Business day | : | London |
| Business day convention | : | Modified Following |
| Reference entity | : | Kingdom of Spain |
| Notional | : | EUR 10 000 000,00 |
| Coupon payment dates | : | 18 March, 18 June, 18 September and 18 December of each year |
| Coupon spread | : | 1,00 % |
| Fixed rate day count fraction | : | Actual/365 (Fixed) |
Floating payment:
| Floating rate payer calculation amount | : | EUR 10 000 000,00 |
| Conditions to settlement | : | Credit Event Notice Notice of publicly available information applicable |
| Credit events | : | The following credit events shall apply to this transaction: Bankruptcy Debt restructuring (CR) Failure to pay |
| Settlement currency | : | EUR |
Delta Hedge CDS General Terms:
| Trade date | : | 13 October 2016 |
| Effective date | : | 13 October 2016 |
| Scheduled termination date | : | 18 December 2021 |
| Protection seller | : | Participating institution |
| Protection buyer | : | Counterparty |
| Business day | : | London |
| Business day convention | : | Modified Following |
| Reference entity | : | Kingdom of Spain |
| Notional | : | USD 11 000 000,00 |
| Coupon payment dates | : | 18 March, 18 June, 18 September and 18 December of each year |
| Coupon spread | : | 1,00 % |
| Fixed rate day count fraction | : | Actual/365 (Fixed) |
Floating payment:
| Floating rate payer calculation amount | : | USD 11 000 000,00 |
| Conditions to settlement | : | Credit Event Notice Notice of publicly available information applicable |
| Settlement currency | : | USD |
Section 3: Correlation Trading Portfolios (CTPS)
| Portfolio number Risk factor | Portfolios | Currency | Risk Metrics requested |
|---|---|---|---|
| 35 CTP | Long position in spread hedged equity tranche of iTraxx Europe index on-the-run Series (attachment point: 0 %, detachment point: 3 %) | EUR | VaR, sVaR and IM for CTP |
| 36 CTP | Long position in spread hedged mezzanine tranche of iTraxx Europe index on-the-run Series (attachment point: 7 %, detachment point: 10 %) | EUR | VaR, sVaR and IM for CTP |
| 37 CTP | Short position in spread hedged super senior tranche of iTraxx Europe index on-the-run Series (attachment point: 30 %, detachment point: 100 %) | EUR | VaR, sVaR and IM for CTP |
The correlation trading portfolios contain positions in tranches of the iTraxx Europe index (on-the-run Series) defined in the table above.
- — Notional is EUR 10 million for each tranche.
- — The contractual maturity is 5 years. Valuation as of 5:00 pm New York time on each date of valuation.
- — The running spread that shall be used is 500 bps for the tranches in portfolio 1 and 2, and 100 bps for portfolio 3.
The portfolios are constructed by hedging each index tranche with the iTraxx Europe index (on the run Series) to achieve zero CS01 as of initial valuation date (‘spread hedged’). No further re-hedging is required.
’
ANNEX VI
‘ANNEX VI
RESULTS: SUPERVISORY BENCHMARKING PORTFOLIOS
| TEMPLATE RELATED INSTRUCTIONS | 2826 |
| --- | --- |
| C 106.00 — INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION | 2826 |
| --- | --- |
| C107.01 — VAR & SVAR NON-CTP. DETAILS | 2826 |
| --- | --- |
| C 107.02 — VAR AND SVAR NON-CTP. BASE CURRENCY RESULTS | 2828 |
| --- | --- |
| C 108.00 — ONE YEAR PROFIT & LOSS VAR | 2829 |
| --- | --- |
| C 109.01 — IRC. DETAILS OF THE MODEL | 2830 |
| --- | --- |
| C 109.02 — IRC. DETAILS BY PORTFOLIO | 2830 |
| --- | --- |
| C 109.03 — IRC. AMOUNT BY PORTFOLIO/DATE | 2831 |
| --- | --- |
| C 110.01 — CT. DETAILS OF THE MODEL. | 2832 |
| --- | --- |
| C 110.02 — CT. DETAILS BY PORTFOLIO. | 2832 |
| --- | --- |
| C 110.03 — CT. APR BY PORTFOLIO/DATE | 2833 |
TEMPLATE RELATED INSTRUCTIONS
C 106.00 — Initial Market Valuation and exclusion justification
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Sections 1 and 3 of Annex V | The portfolio number taken from Annex V to this Implementing Regulation shall be reported. |
| 020 | Portfolio Modelled for Var + sVaR (YES/NO) | Either YES or NO shall be reported. | |
| 030 | Portfolio Modelled for IRC (YES/NO) | Either YES or NO shall be reported. | |
| 040 | Portfolio Modelled for Correlation Trading (YES/NO) | Either YES or NO shall be reported. | |
| 050 | Rationale for Exclusion | Article 4 | 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. |
| 060 | Free text box | An institution may provide any additional information in this column. | |
| 070 | Initial Market Valuation | The mark-to-market value of each individual portfolio on 27 October 2016 at 5:30 pm CET. The mark-to-market value of each individual portfolio expressed in units of the base currency of the instrument shall be reported. |
C107.01 — VaR & sVaR Non-CTP. Details
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Methodology | One of the following shall be reported: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (d) Combination/Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. | |
| 020 | Computation of 10-day Horizon | Article 365(1) of Regulation (EU) No 575/2013 | One of the following shall be reported: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other Methodology. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 030 | Length of observation period | Article 365(1)(d) of Regulation (EU) No 575/2013 | One of the following shall be reported: (a) 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. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 040 | Data Weighting | Article 365(1)(d) of Regulation (EU) No 575/2013 | One of the following shall be reported: (a) Unweighted; (b) Weighted; (c) The higher of the metrics in points (a) and (b). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 050 | Back-testing add-on | Article 366(2) of Regulation (EU) No 575/2013 | Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. Back-testing add-on means the addend with a value between 0 and 1 in accordance with Table 1 of Article 366(2) of Regulation (EU) No 575/2013. |
| 060 | Regulatory add-on | Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’) | Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. Regulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on. |
| 070 | Methodology | One of the following shall be reported: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (d) Combination/Other (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. | |
| 080 | Computation of 10 day Horizon | Article 365(1) of Regulation (EU) No 575/2013 | One of the following shall be reported: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (c) 10 days other Methodology; Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 090 | Regulatory add-on | Article 366(2) of Regulation (EU) No 575/2013 | Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. Regulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on. |
C 107.02 — VaR and sVaR Non-CTP. Base Currency Results
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 1 of Annex V | The portfolio number taken from Section 1 of Annex V to this Implementing Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 010 | Date | |
| 020 | VaR | Article 365 of Regulation (EU) No 575/2013 |
| 030 | sVaR | Article 365 of Regulation (EU) No 575/2013 |
C 108.00 — One year Profit & Loss VaR
This template shall be filled only by institutions that calculate VaR using historical simulation.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 1 of Annex V | The Portfolio number taken from Section 1 of Annex V to this Implementing Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 010 | Date | Article 365(1)(d) of Regulation (EU) No 575/2013 |
| 020 | Daily P&L |
C 109.01 — IRC. Details of the Model
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | 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; (b) 2; (c) More than 2. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 020 | 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. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
C 109.02 — IRC. Details by Portfolio
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 1 of Annex V | The portfolio number taken from Section 1 of Annex V to this Implementing Regulation for those portfolios only where IRC is requested, shall be reported. |
| Row | Label | Legal reference |
| --- | --- | --- |
| 10 | Liquidity Horizon | Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3 |
| 20 | Source of PDs | EBA/GL/2012/3 |
| 30 | Source of transition matrices | EBA/GL/2012/3 |
C 109.03 — IRC. Amount by Portfolio/Date
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 1 of Annex V | The portfolio number taken from Section 1 of Annex V to this Implementing Regulation for those portfolios only where IRC is requested, shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 010 | Date | |
| 020 | IRC | Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3 |
C 110.01 — CT. Details of the Model.
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | 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; (b) 2; (c) More than 2. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 020 | 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. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
C 110.02 — CT. Details by Portfolio.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 3 of Annex V | The portfolio number taken from Section 3 of Annex V to this Implementing Regulation shall be reported. |
| Row | Label | Legal reference |
| --- | --- | --- |
| 010 | Liquidity Horizon | Article 377(2) of Regulation (EU) No 575/2013 |
| 020 | Source of PDs | Article 377 of Regulation (EU) No 575/2013 |
| 030 | Source of transition matrices | Article 377 of Regulation (EU) No 575/2013 |
C 110.03 — CT. APR by Portfolio/Date
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 3 of Annex V | The portfolio number taken from Section 3 of Annex V to this Implementing Regulation shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 010 | Date | Article 377 of Regulation (EU) No 575/2013 |
| 60 | APR | Article 377 of Regulation (EU) No 575/2013 |
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