LegalizeCommission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates 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 | Bullish leveraged trade — 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 12 October 2017.* | USD | VaR and sVaR |
| 2 Equity | Volatility trade #1 — 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 12 October 2017. | USD | VaR and sVaR |
| 3 Equity | Volatility trade #2 — 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 13 April 2018, delivery date 16 April 2018 (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 13 April 2018, delivery date 16 April 2018 (1 contract = 10 underlying) * The strike price is based on the index level at NYSE Liffe London market close on 12 October 2017. | GBP | VaR and sVaR |
| 4 Equity | Equity spot and short call position (‘covered call’) Long 50,000 equity shares Generali SPA (G IM Equity ISIN IT0000062072) at the stock price at market close on 12 October 2017. 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 |
| 5 Equity | Collar Strategy Long 10,000 equity shares Sanofi (SAN FP Equity ISIN FR0000120578) at the stock price at market close on 12 October 2017. Sell 10 % OTM 6-month Call and Buy 10 % OTM 6-month Put for 10,000 equity shares Sanofi (SAN FP Equity) relative to the above specified price. | EUR | VaR and sVaR |
| 6 Equity | Long Strangle 12-month maturity Buy 12-month 10 % OTM Call on 10,000 equity shares Aviva Plc. (AV/LN Equity ISIN GB0002162385) relative to the stock price at market close on 12 October 2017. 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 12 October 2017 | GBP | VaR and sVaR |
| Interest Rate | Interest Rate | Interest Rate | Interest Rate |
| 7 IR | Sovereign trade — Long EUR 5 million ISIN: IT0001174611 BTPS 6 Image omitted; see official source1 November 2027 — Short EUR 2 million ISIN: ES00000121L2 SPGB 4.6 30 July 2019 — Short EUR 1 million ISIN: DE0001135499 DE-BUND 1 Image omitted; see official source4 SEPT 2022 | EUR | VaR, sVaR and IRC |
| 8 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: 12 October 2017 (i.e. rates to be used are those at the market close on 12 October 2017) — Maturity date: 12 October 2027 | EUR | VaR and sVaR |
| 9 IR | Interest rate swap USD — Receive fixed rate and pay floating rate — Fixed leg: receive annually — Floating leg: 3-month USD Libor rate, pay quarterly — Notional: USD 5 million — Roll convention and calendar: standard — Effective date 12 October 2017 (i.e. rates to be used are those at the market close on 12 October 2017) — Maturity date: 12 October 2027 | USD | VaR and sVaR |
| FX | FX | FX | FX |
| 10 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 12 October 2017 — 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 12 October 2017 — Effective date: 12 October 2017 — Expiry date: 12 April 2018 — EUR/USD ECB reference rate | EUR | VaR and sVaR |
| 11 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 2.1 of this Annex. | EUR | VaR and sVaR |
| 12 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 2.2 of this Annex. | EUR | VaR and sVaR |
| Commodity | Commodity | Commodity | Commodity |
| 13 Commodity | Gold forwards position Long 3,500,000 6-month OTC London Gold Forwards contracts (1 contract = 0.001 troy ounces, notional: 3,500 troy ounces) Short 4,300,000 1-year OTC London Gold Forwards contracts (Notional: 4,300 troy ounces) | USD | VaR and sVaR |
| 14 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 12 October 2017 (1 contract = 1 000 barrels, total notional 30,000 barrels) | USD | VaR and sVaR |
| Credit Spread | Credit Spread | Credit Spread | Credit Spread |
| 15 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: 12 October 2017 — restructuring clause: FULL — standard ISDA doc clauses apply as following current market conventions Country currency Italy USD UK USD Germany USD France USD US EUR | EUR | VaR, sVaR and IRC |
| 16 Credit Spread | Sovereign bond/CDS portfolio — 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 15 — 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 12 October 2017 — to convert the notional of the non-euro bonds use the FX spot as at end of day 12 October 2017 Identifier Description IT0004848831 BTP 5 Image omitted; see official source1 NOV 2022 DE0001135499 BUND 1 Image omitted; see official source4 SEPT 2022 GB00B7L9SL19 GILT 1 Image omitted; see official source7 SEPT 2022 FR0011337880 OAT 2 Image omitted; see official source25 OCTs 2022 US912828M490 TBOND 1 7/8 31 OCTs 2022 | EUR | VaR, sVaR and IRC |
| 17 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 12 October 2017 Name Currency Doc clause Generali SpA EUR MM Allianz EUR MM AXA EUR MM Aegon EUR MM Aviva EUR MM Swiss Reinsurance EUR MM | EUR | VaR, sVaR and IRC |
| 18 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: 12 October 2017 | EUR | VaR, sVaR and IRC |
| 19 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: 12 October 2017 * Each single name CDS shall have a notional of EUR 1 million.* | EUR | VaR, sVaR and IRC |
| 20 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. Effective date: 12 October 2017 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 Holdings Inc. EUR | EUR | VaR, sVaR and IRC |
| 21 Credit Spread | CDS bond basis — Long bonds EUR 2 million per single-name 5 year bonds on 3 EU Corporates. ISIN Security name XS0452187916 ENEL SPA 5 14 SEPT 2022 -XS0304458051 VODAFONE GROUP PLC 5 3/8 6 JUNE 2022 FR0011655612 AXA SA 2 5/8 19 JUNE 2022 — 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 |
| All-in portfolios | All-in portfolios | All-in portfolios | All-in portfolios |
| 22 | All-in portfolio (1) A portfolio made of the portfolios in rows 1 to 21 | EUR | VaR, sVaR and IRC |
| 23 | All-in Equity portfolio (2) A portfolio made of the equity portfolios in rows 1 to 6 | EUR | VaR and sVaR |
| 24 | All-in IR portfolio (3) A portfolio made of the interest rate portfolios in rows 7 to 9 | EUR | VaR and sVaR |
| 25 | All-in FX portfolio (4) A portfolio made of the FX portfolios in rows 10 to 12 | EUR | VaR and sVaR |
| 26 | All-in Commodity portfolio (5) A portfolio made of the commodity portfolios in rows 13 and 14 | EUR | VaR and sVaR |
| 27 | All-in Credit Spread portfolio (6) A portfolio made of the credit spread portfolios in rows 15 to 21 | EUR | VaR, sVaR and IRC |
SECTION 2: DETAILS FOR PORTFOLIOS
2.1 Details for portfolio n. 11: Knock-out currency option
| Trade date: | 12 October 2017 |
| 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 12 October 2017, New York USA closing time |
| Strike price: | EUR/USD exchange rate on 12 October 2017, New York USA closing time |
| Expiration date: | 12 October 2018 |
| Expiration time: | 10:00 a.m. New York time |
| Automatic exercise: | Applicable |
| Settlement: | Non-Deliverable |
| Settlement date: | 19 October 2018 |
| 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 12 October 2017 |
| 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 |
2.2 Details for portfolio n. 12: Double no touch binary currency option
| Trade Date: | 12 October 2017 |
| Buyer: | Participating institution (Party B) |
| Seller: | Client [Party A] |
| Currency option style: | Binary |
| Expiration date: | 12 October 2018 |
| Expiration time: | 10:00 AM New York USA time |
| Automatic exercise: | Applicable |
| Settlement: | Non-deliverable |
| Settlement amount: | EUR 1 000 000,00 |
| Settlement date: | 19 October 2018 |
| Barrier event: | Applicable |
| Event type: | Double No-Touch Binary |
| Initial spot price: | Level of USD/EUR on 12 October 2017 |
| 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 |
SECTION 3: CORRELATION TRADING PORTFOLIOS (CTPS)
| Portfolio number Risk factor | Portfolios | Currency | Risk Metrics requested |
|---|---|---|---|
| 28 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 APR for CTP |
| 29 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 APR for CTP |
| 30 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 APR for CTP |
These correlation trading portfolios contain positions in tranches of the the iTraxx Europe index (on the run Series) 5 years.
- — Notional is EUR 10 million for each tranche.
- — The contractual maturity is 5 years.
- — The running spread that shall be used is 300 bps for the tranche in portfolio 28, 100 bps for the tranche in portfolio 29, and 30 bps for the tranche in portfolio 30.
The portfolios are constructed by hedging each index tranche with the iTraxx Europe index (on-the-run Series) 5 years to achieve zero CS01 as of booking date (‘spread hedged’). No further re-hedging is required.
’
ANNEX VI
‘ANNEX VI
RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS
Table of contents
| TEMPLATE RELATED INSTRUCTIONS | 6342 |
| --- | --- |
| C 106.00 – INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION | 6342 |
| --- | --- |
| C107.01 – VAR & SVAR NON-CTP. DETAILS | 6342 |
| --- | --- |
| C 107.02 – VAR AND SVAR NON-CTP. BASE CURRENCY RESULTS | 6344 |
| --- | --- |
| C 108.00 – ONE YEAR PROFIT & LOSS VAR | 6345 |
| --- | --- |
| C 109.01 – IRC. DETAILS OF THE MODEL | 6346 |
| --- | --- |
| C 109.02 – IRC. DETAILS BY PORTFOLIO | 6347 |
| --- | --- |
| C 109.03 – IRC. AMOUNT BY PORTFOLIO/DATE | 6348 |
| --- | --- |
| C 110.01 – CT. DETAILS OF THE MODEL. | 6348 |
| --- | --- |
| C 110.02 – CT. DETAILS BY PORTFOLIO. | 6349 |
| --- | --- |
| C 110.03 – CT. APR BY PORTFOLIO/DATE | 6350 |
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 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 initial market valuation as defined in the Annex V of each individual portfolio on 27 October 2017 at 5:30 pm CET (4:30 pm London time). |
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 Liquidity 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 | Backtesting 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. Backtesting 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 Value-at-Risk (‘VaR’) (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 backtesting 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 Liquidity 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 stressed VaR (‘sVaR’) (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 backtesting 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 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 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 incremental risk charge (‘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 losses given default (‘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, only for those portfolios 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, only for those portfolios 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 1 of Annex V 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 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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