LegalizeCommission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (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.
| 1. | Long EUROSTOXX 50 index (Ticker: SX5E) Future (1 point equals EUR 10 movement). Expiry — 28 June 2019. Base currency EUR; | |
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| 2. | Long 10000 BAYER (Ticker: BAYN GR) shares. Base currency EUR; | |
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| 3. | Short future BAYER (Ticker: BAYN GR) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 4. | Short future, PEUGEOT PSA (Ticker: UG FP) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 5. | Short future, ALLIANZ (Ticker: ALV GR) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 6. | Short future BARCLAYS (Ticker: BARC LN) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency GBP; | |
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| 7. | Short future DEUTSCHE BANK (Ticker: DBK GR) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 8. | Short future CRÉDIT AGRICOLE (Ticker: ACA FP) (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 9. | Long call option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 10. | Short call option. Underlying BAYER (Ticker: BAYN GR), ATM (1 contract = 100 shares). Expiry — 31 December 2019. Base currency EUR; | |
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| 11. | Long call option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry — 28 June 2019. Base currency USD; | |
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| 12. | Long put option. Underlying PFIZER (Ticker PFE US) 10 % OTM, (1 contract = 100 shares). Expiry — 28 June 2019. Base currency USD; | |
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| 13. | Long call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 14. | Short call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM (1 contract = 100 shares). Expiry — 28 June 2019. Base currency EUR; | |
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| 15. | Long call option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry — 31 December 2019. Base currency GBP; | |
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| 16. | Long put option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1 contract = 100 shares). Expiry — 31 December 2019. Base currency GBP; | |
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| 17. | Short future NIKKEI 225 (Ticker NKY) (1 point equals JPY 10). Expiry — 28 June 2019. Base currency JPY. | |
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| 18. | Auto-callable equity product Long position Booking on 19 September2018 Notional amount (‘capital’) 1million Underlying: Index Euro STOXX 50® (Ticker: SX5E) Currency: EUR Maturity: 5 years Annual payout and annual observation (19.9.2019, 18.9.2020, 20.9.2021, 19.9.2022, 19.9.2023). Payout occurs 10 days after reference date. Coupon 6 % Autocall level (‘initial value’): end of day 17 October 2017 Barrier coupon payment 60 % of autocall level Protection barrier: 55 % of autocall level — Capital not guaranteed if index is below the protection barrier (capital returned on year 5 will be pro rata if the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level, the capital returned is 40 %); — If SX5E >= 60 % (barrier coupon) of initial value at the end of any year, the coupon is paid out 6 %; — If SX5E >= 100 % of initial value at the end of any year, the product is called and the payout is the coupon plus the capital (100 %); — If SX5E < 60 % (barrier coupon) of initial value at the end of any year, no coupon is paid; — If SX5E < 55 % (protection barrier) of initial value at the end of year 5, the capital is only paid pro rata. If SX5E >= 55 % (protection barrier) of initial value at the end of year 5, the capital is fully paid. |
IR
| 19. | Five-year IRS EURO — receive fixed rate and pay floating rate. Fixed leg: receive annually. Floating rate: three-month EURIBOR, pay quarterly. Notional: EUR 10 million. Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market close on booking date). Maturity: 21 September 2023. Base currency EUR; | |
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| 20. | 2-year EUR swaption on five-year interest rate swap. Notional EUR 10 million. 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. Swaption with maturity of two years (21 September 2020) on IRS defined in instrument no. 19. Maturity of the underlying swap: 21 September 2025. Premium paid at the booking date (21 September 2018). Cash settled. The strike price is based on the IRS rate defined in instrument no. 19 (i.e. the strike price is the fixed rate as defined in instrument no. 19). Base currency EUR; | |
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| 21. | Five-year IRS USD. Receive fixed rate and pay floating rate. Fixed rate: receive annually. Floating rate: three-month USD LIBOR rate, pay quarterly. Notional USD10 million. Roll convention and calendar: standard. Effective date same as booking date (i.e. rates to be used are those at the market close on the booking date). Maturity date: 21 September 2023. Base currency USD; | |
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| 22. | Two-year IRS GBP. Receive fixed rate and pay floating rate. Fixed rate: receive annually. Floating rate: three-month GBP LIBOR rate, pay quarterly. Notional GBP10 million. Roll convention and calendar: standard. Effective date same as booking date (i.e. rates to be used are those at the market close on the booking date). Maturity date: 21 September 2020. Base currency GBP; | |
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| 23. | Long position on ‘cap and floor’ 10-year UBS AG (Ticker: UBSG VX) notes. Notional (principal) amount: USD 1 million. Floating rate notes are senior unsecured obligations of UBS AG. — The notes will bear interest at a per annum rate equal to USD three-month LIBOR plus 1,5 % per annum (‘floating interest rate’), subject to a maximum rate of 7,5 % per annum (‘interest rate cap’) and a minimum rate of 2,5 % per annum (‘interest rate floor’); — Any payment on the notes, including interest and principal at maturity, is subject to the creditworthiness of UBS AG. Institutions are asked to use an appropriate discounting curve, which they explain in the explanatory note; — Income: the notes will pay interest quarterly at a rate equal to the floating interest rate, provided: i. if on any coupon determination date, the floating interest rate is below the interest rate floor, the applicable interest rate for the related interest period will be equal to the interest rate floor; and ii. if on any coupon determination date, the floating interest rate is above the interest rate cap, the applicable interest rate for the related interest period will be equal to the interest rate cap. Interest payment amount The amount of interest to be paid on the notes for an interest period is equal to the product of: (a) the principal amount of the notes; (b) the applicable interest rate for that interest period; and (c) a fraction, the numerator of which is the number of days in the interest period (calculated on the basis of a 360-day year of twelve 30-day months) and the denominator of which is 360. Trade and settlement date 19 September 2018 Interest payment dates Quarterly, on the 19th day of December, March, June and September, commencing on 19 December 2018, during the term of the notes (subject to adjustments, as described therein). Maturity date 19 September 2028 Currency USD Daycount basis 30/360 Business day convention Following unadjusted Coupon determination date For each interest period, the second London banking day immediately preceding the relevant interest date. ‘London banking day’ means any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and on which dealings in US dollars are transacted in the London interbank market. | |
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| 24. | Long EUR5 million (ISIN DE0001135085). Expiry 4 July 2028. Base currency EUR; | |
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| 25. | Short EUR2 million (ISIN DE0001102317). Expiry 15 May 2023. Base currency EUR; | |
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| 26. | Long EUR5 million (ISIN IT0005246134). Expiry 15 May 2028. Base currency EUR; | |
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| 27. | Long EUR1 million (ISIN IT0005172322). Expiry 15 March 2023. Base currency EUR; | |
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| 28. | Long EUR5 million (ISIN ES00000124C5). Expiry 31 October 2028. Base currency EUR; | |
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| 29. | Short EUR5 million (ISIN FR0011317783). Expiry 25 October 2027. Base currency EUR; | |
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| 30. | Short EUR10 million (ISIN DE0001102390). Expiry 15 February 2026. Base currency EUR; | |
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| 31. | Long GBP5 million (ISIN GB0002404191). Expiry 7 December 2028. Base currency GBP; | |
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| 32. | Long EUR 5 million (ISIN PTOTETOE0012). Expiry 21 July 2026. Base currency EUR; | |
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| 33. | Short USD10 million (ISIN US912828V236). Expiry 31 December 2023. Base currency USD; | |
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| 34. | Long BRAZIL GOVT USD 5 million (ISIN US105756BU30). Expiry 5 January 2023. Base currency USD; | |
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| 35. | Long MEXICO GOVT USD 5 million (ISIN US91086QBC15). Expiry 2 October 2023. Base currency USD; | |
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| 36. | 10-year IRS EURO — receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: three-month EURIBOR, receive quarterly. Notional: EUR 10 million Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market close on booking date). Maturity: 21 September 2028. Base currency EUR; | |
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| 37. | Five-year IRS EURO — receive floating rate and pay fixed rate. Fixed leg: pay annually. Floating rate: six-month EURIBOR, receive quarterly. Notional: EUR 10 million. Roll convention and calendar: standard. Effective date at the booking date (i.e. rates to be used are those at the market close on booking date). Maturity: 21 September 2023. Base currency EUR. |
FX
| 38. | Short six-month EUR/USD forward contract (i.e. long USD short EUR). Cash settled. Notional USD 10 million purchased at EUR/USD ECB reference spot rate as of end of booking date. Base currency EUR; | |
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| 39. | Long six-month EUR/GBP forward contract (i.e. long GBP short EUR). Cash settled. Notional GBP 10 million purchased at EUR/GBP ECB reference spot rate as of end of booking date. Base currency EUR; | |
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| 40. | Long million USD 1 million at EUR/USD ECB reference spot rate as of end of booking date. Cash position. Base currency EUR; | |
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| 41. | Long call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 110 % of EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR; | |
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| 42. | Long call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of the booking date. Strike price: 90 % of EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR; | |
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| 43. | Short call option. EUR10 million. Equivalent amount based on EUR/USD ECB reference spot rate as of end of booking date. Strike price: 100 % of EUR/USD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR; | |
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| 44. | Short call option. EUR 10 million. Equivalent amount based on EUR/GBP ECB reference spot rate as of end of booking date. Strike price: 110 % of EUR/GBP ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR; | |
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| 45. | Long put option. EUR 10 million. Equivalent amount based on EUR/JPY ECB reference spot rate as of end of booking date. Strike price: 110 % of EUR/JPY ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR; | |
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| 46. | Short put option. EUR 10 million. Equivalent amount based on EUR/AUD ECB reference spot rate as of end of booking date. Strike price: 110 % of EUR/AUD ECB reference rate as of end of booking date. Expiry: 19 September 2019. Base currency EUR; | |
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| 47. | Five-year mark to market (MtM) cross-currency EUR/USD SWAP. Receive USD and pay EUR. EUR: three-month EURIBOR, pay quarterly USD: three-month USD LIBOR rate, receive quarterly Notional EUR10 million adjusted on a quarterly basis Roll convention and calendar: standard. Effective date same as booking date. Maturity: 19 September 2023. Base currency EUR; |
COMMODITIES
| 48. | Long 3 500 000 six-month ATM London gold forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces). Base currency USD. Cash settlement; | |
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| 49. | Short 3 500 000 12-month ATM London gold forwards contracts (1 contract = 0.001 troy ounces, notional: 3 500 troy ounces). Base currency USD. Cash settlement; | |
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| 50. | Long 30 contracts of six-month WTI crude oil call option with strike equals 12-month end-of-day forward price on booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels). Base currency USD. Cash settlement; | |
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| 51. | Short 30 contracts of six-month WTI Crude Oil Put option with strike equals 12-month end-of-day forward price on booking date (1 contract = 1 000 barrels. Total notional 30 000 barrels). Base currency USD. Cash settlement; |
CREDIT SPREAD
| 52. | Long (i.e. buy protection) EUR 1 million CDS on Portugal. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 53. | Long (i.e. buy protection) 1 million USD CDS on Italy. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 54. | Short (i.e. sell protection) USD 1 million CDS on Spain. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 55. | Long (i.e. buy protection) 1 million CDS on Mexico. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 56. | Long (i.e. buy protection) USD 1 million CDS on Brazil. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 57. | Long (i.e. buy protection) USD 1 million CDS on UK. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 58. | Short (i.e. sell protection) EUR 1 million CDS on AXA (Ticker CS FP). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency EUR; | |
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| 59. | Long (i.e. buy protection) EUR 1 million CDS on AXA (Ticker CS FP). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2021. Base currency EUR; | |
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| 60. | Short (i.e. sell protection) GBP 1 million CDS on Aviva (Ticker AV/LN). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency GBP; | |
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| 61. | Long (i.e. buy protection) GBP 1 million CDS on Aviva (Ticker AV/LN). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2021. Base currency GBP; | |
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| 62. | Short (i.e. Sell protection) EUR 1 million CDS on Vodafone (Ticker VOD LN). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency EUR; | |
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| 63. | Short (i.e. sell protection) EUR 1 million CDS on ENI SpA (Ticker ENI IM). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency EUR; | |
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| 64. | Short (i.e. sell protection) USD 1 million CDS on Eli Lilly (Ticker LLY US). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 65. | Short (i.e. sell protection) EUR 1 million CDS on Unilever (Ticker UNA NA). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency EUR; | |
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| 66. | Long (i.e. buy protection) EUR 1 million CDS on Total SA (Ticker FP FP). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency EUR; | |
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| 67. | Long (i.e. buy protection) EUR 1 million CDS on Volkswagen Group (Ticker VOW GR). Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency EUR; | |
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| 68. | Long position on Turkey Govt. notes USD 1 million. Maturity: 22 March 2024 (ISIN US900123CF53). Base currency USD; | |
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| 69. | Long (i.e. buy protection) USD 1 million CDS on Turkey. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD; | |
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| 70. | Long position on AXA notes EUR 1 million Maturity 29 January 2024 (ISIN FR0011524248). Base currency EUR; | |
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| 71. | Long position on Volkswagen Group notes EUR 1 million Maturity 2 October 2023 (ISIN XS1586555861). Base currency EUR; | |
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| 72. | Short EUR 1 million Volkswagen Group notes. Maturity 30 March 2021 (ISIN XS1586555606). Base currency EUR; | |
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| 73. | Long position on Total SA notes EUR 1 million. Maturity: 15 March 2023 (ISIN XS0830194501). Base currency EUR; |
CTP
| 74. | Short position in spread hedged Super Senior tranche of iTraxx Europe index on-the-run series. Attachment point: 25 %; detachment point: 100 %. Notional EUR 5 million. Maturity: five years. Running spread 100 bps. The portfolio is constructed by hedging the index tranche with the iTraxx Europe index on-the-run series to achieve a zero CS01 as of booking date. No further re-hedging is required. Base currency EUR; | |
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| 75. | Long (i.e. buy protection) USD 1 million first to default basket swap on {Brazil, Mexico and Turkey}. Effective date same as booking date. Restructuring clause: FULL. Maturity: 20 September 2023. Base currency USD. |
3. Individual portfolios
Provide the required risk measures, along with the present value, of the following individual portfolios:
| Portfolio | Combination of instruments Instrument (as stated by its number in section 2 – quantity of each instrument | Base currency | Risk measures required |
|---|---|---|---|
| EQUITY | EQUITY | EQUITY | EQUITY |
| 1 | 1 – 1 000 instruments | EUR | VaR and sVaR |
| 2 | 1 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments | EUR | VaR and sVaR |
| 3 | 1 – 100 instruments 1 – 100 instruments | EUR | VaR and sVaR |
| 4 | 1 – 100 instruments 1 – 100 instruments | GBP | VaR and sVaR |
| 5 | 1 – 1 000 instruments | JPY | VaR and sVaR |
| 6 | 1 – 500 instruments 1 – 500 instruments | EUR | VaR and sVaR |
| 7 | 18 – 1 instrument | EUR | VaR and sVaR |
| 8 | 1 – 1 000 instruments 1 – 1 000 instruments | USD | VaR and sVaR |
| 9 | 2 – 1 instruments 1 – 100 instruments | EUR | VaR and sVaR |
| 10 | 6 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments | EUR | VaR and sVaR |
| IR | IR | IR | IR |
| 11 | 1 – 1 instrument | EUR | VaR and sVaR |
| 12 | 20 – 1 instrument | EUR | VaR and sVaR |
| 13 | 1 – 1 instrument | USD | VaR and sVaR |
| 14 | 1 – 1 instrument | GBP | VaR and sVaR |
| 15 | 23 – 1 instrument | USD | VaR; sVaR; IRC |
| 16 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 17 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 18 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 19 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
| 20 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
| 21 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
| 22 | 1 – 1 instrument 20 – 1 instrument | EUR | VaR and sVaR; |
| 23 | 1 – 1 instrument | GBP | VaR; sVaR; IRC |
| 24 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 25 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| 26 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| FX | FX | FX | FX |
| 27 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 28 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 29 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 30 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 31 | 1 – 1 instrument | EUR | VaR and sVaR |
| 32 | 47 – 1 instrument | EUR | VaR and sVaR |
| COMM. | COMM. | COMM. | COMM. |
| 33 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| 34 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| 35 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| Credit Spread | Credit Spread | Credit Spread | Credit Spread |
| 36 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 37 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 38 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 39 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 40 | 1 – 1 instrument 1 – 1 instrument | GBP | VaR; sVaR; IRC |
| 41 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 42 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 43 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 44 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 45 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 46 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 47 | 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 48 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 49 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 50 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 51 | 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 52 | 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 53 | 1 – 5 instruments 1 – 1 instrument 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
| CTP | CTP | CTP | CTP |
| 54 | 1 – 1 instrument | EUR | VaR; sVaR; APR |
| 55 | 1 – 1 instrument | USD | VaR; sVaR; APR |
| 56 | 1 – 5 instruments 1 – 5 instruments 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; APR |
4. Aggregated portfolios
Provide the required risk measures, along with the present value, of the following financial aggregated portfolios:
| Aggreg. portfolio | Description | Combination of individual portfolios (individual portfolios as stated by the numbers in section 2 | Base currency | Risk measures requested |
|---|---|---|---|---|
| 57 | ALL-IN no-CTP | 1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43 | EUR | VaR; sVaR; IRC |
| 58 | EQUITY cumulative | 1, 2, 6, 7, 9 | EUR | VaR and sVaR |
| 59 | IR cumulative | 11, 12, 18, 21 | EUR | VaR and sVaR |
| 60 | FX cumulative | 27, 28, 30, 31, 32 | EUR | VaR and sVaR |
| 61 | Commodity cumulative | 33, 34 | USD | VaR and sVaR |
| 62 | Credit spread cumulative | 38, 41, 43 | EUR | VaR; sVaR; IRC |
| 63 | CTP cumulative EUR | 54, 56 | EUR | VaR; sVaR; APR |
’
7
In line with the IMV convention, the present value (PV) denotes the mark-to-market value at the day and time of valuation in accordance with the calculation of the VaR figures. Institutions must provide the information related to the time of valuation, preferably at COB, in the text cell in the appropriate template or in an attached explanatory note if needed.
8
Use a number of 100 contracts, where applicable (refer to the portfolio definitions in section 3), uniformly for the purpose of calculating IMV.
9
Where applicable, standard ISDA definitions apply. Accordingly, standard restructuring clauses apply.
ANNEX VI
‘ANNEX VI
RESULTS SUPERVISORY BENCHMAR PORTFOLIOS
Table of contents
| TEMPLATE RELATED INSTRUCTIONS | 4956 |
| --- | --- |
| C 106.00 – Initial Market Valuation and exclusion justification | 4956 |
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| C107.01 – VaR & sVaR Non-CTP. Details | 4956 |
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| C 107.02 – VaR, sVaR and PV — Non-CTP. Base Currency Results | 4959 |
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| C 108.00 – Profit & Loss Time Series | 4960 |
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| C 109.01 – IRC. Details of the Model | 4961 |
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| C 109.02 – IRC. Details by Portfolio | 4962 |
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| C 109.03 – IRC. Amount by Portfolio/Date | 4963 |
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| C 110.01 – CT. Details of the Model. | 4964 |
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| C 110.02 – CT. Details by Portfolio. | 4964 |
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| C 110.03 – CT. APR by Portfolio/Date | 4965 |
TEMPLATE RELATED INSTRUCTIONS
C 106.00 – Initial Market Valuation and exclusion justification
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Instrument number | Section 2 of Annex V | The instrument number taken from Annex V shall be reported. |
| 020 | Instrument Modelled for VaR and sVaR (YES/NO) | Either YES or NO shall be reported. | |
| 030 | Instrument Modelled for IRC (YES/NO) | Either YES or NO shall be reported. | |
| 040 | Instrument Modelled for Correlation Trading (YES/NO) | Either YES or NO shall be reported. | |
| 050 | Rationale for Exclusion | Article 4 of Commission Implementing Regulation (EU) 2016/2070 | 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; (d) Other rationale for exclusion. Please, explain that in column 060. |
| 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 instrument on 26 September 2018 at 5:30 pm CET The cell shall be left blank if the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported if and only if the result of the calculation is actually zero). |
C107.01 – VaR & sVaR Non-CTP. Details
| Row | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Methodology | One of the following shall be reported in column 010: (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. In case option (d) was selected in column 010, the institution is expected to provide details in this column. | |
| 020 | Computation of 10-day Horizon | Article 365(1) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 010: (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 in column 010: (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 in column 010: (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 | Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRR Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 060 | VaR Regulatory add-on | Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’) | Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 070 | Methodology | One of the following shall be reported in column 010: (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. In case option (d) was selected in column 010, the institution is expected to provide details in this column. | |
| 080 | Computation of 10 day Horizon | Article 365(1) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 010: (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 | sVaR Regulatory add-on | Article 366(2) of Regulation (EU) No 575/2013 | Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on. Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. |
| 100 | Stressed VaR (i.e. sVaR) period | Article 365(2) of Regulation (EU) No 575/2013 | One of the following shall be reported in column 010: (a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from; (b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from; (c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from; (d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from; (e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period; (f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period; (g) Other choices for the stressed VaR calibration (please specify). Column 020 shall be used by the institution to provide the starting date (e.g. dd/mm/yyyy) in case of options (a) or (b) given in column 010; the starting dates (e.g. dd/mm/yyyy) used for each stressed VaR run in case of options (c) or (d) given in column 010; and, to provide more clarification on the 12-month period used for each stressed VaR run in case of options (e), (f) and (g) given in column 010. |
C 107.02 – VaR, sVaR and PV — Non-CTP. Base Currency Results
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Section 1 of Annex V | The portfolio (both individual and aggregated) number taken from 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 |
| 040 | PV |
C 108.00 – Profit & Loss Time Series
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 (both individual and aggregated) taken from 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 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 (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column. |
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 (both individual and aggregated) taken from 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 (both individual and aggregated) number taken from 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 (please specify). Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column. |
C 110.02 – CT. Details by Portfolio.
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Annex V | The portfolio (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, 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 (both individual and aggregated) number taken from Annex V, only for those portfolios where APR is requested, 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 |
’
ANNEX VII
‘ANNEX VII
Results Supervisory Benchmark portfolios. MARKET RISK
| RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK | RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK | RESULTS 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 | IMV |
| VaR, sVaR and PV | |||
| 107,1 | C 107.01 | DETAILS | VaR&SVaR 1 |
| 107,2 | C 107.02 | BASE 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 |
C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION
| Instrument number | Instrument Modelled for Var + SVaR (YES/NO) | Instrument Modelled for IRC (YES/NO) | Instrument Modelled for Correlation Trading (YES/NO) | Rationale for Exclusion | Free text box | Initial Market Valuation |
|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 |
C 107.01 - VaR, sVaR and PV. DETAILS
| Option | Free text box | ||
| 010 | 020 | ||
| VaR | VaR | VaR | VaR |
| 010 | Methodology | ||
| 020 | Liquidity Horizon | ||
| 030 | Lenght of observation period | ||
| 040 | Data Weighting | ||
| 050 | Backtesting add-on | ||
| 060 | Regulatory add-on | ||
| SVaR | SVaR | SVaR | SVaR |
| 070 | Methodology | ||
| 080 | Liquidity Horizon | ||
| 090 | Regulatory add-on | ||
| 100 | Stressed VaR window time |
C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS
| Portfolio | Portfolio | ||
| Date | VaR | sVaR | PV |
| 010 | 020 | 030 | 040 |
C 108.00- PROFIT & LOSS TIME SERIES
| Portfolio | |
| Date | Daily P&L |
| 010 | 020 |
C 109.01 - IRC. DETAILS OF THE MODEL
| Option | Free text box | ||
| Row | Item | 010 | 020 |
| 010 | Number of modelling factors | ||
| 020 | Source of LGDs |
C 109.02 - IRC. DETAILS BY PORTFOLIO
| Portfolio | Portfolio | ||
| Option | Free text box | ||
| Row | Item | 010 | 020 |
| 010 | Liquidity Horizon | ||
| 020 | Source of PDs | ||
| 030 | Source of transition matrices |
C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE
| Portfolio | Portfolio | ||
| Date | IRC | ||
| 010 | 020 | ||
C 110.01 - CT. DETAILS OF THE MODEL
| Option | Free text box | ||
| Row | Item | 010 | 020 |
| 010 | Number of modelling factors | ||
| 020 | Source of LGDs |
C 110.02 - CT. DETAILS BY PORTFOLIO
| Portfolio | Portfolio | ||
| Option | Free text box | ||
| Row | Item | 010 | 020 |
| 010 | Liquidity Horizon | ||
| 020 | Source of PDs | ||
| 030 | Source of transition matrices |
C 110.03 - CT. APR BY PORTFOLIO/DATE
| Portfolio | Portfolio | ||
| Date | APR | ||
| 010 | 020 | ||
’
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