ANNEX VII RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS. MARKET RISK
RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK |
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Template number |
Template code |
Name of the template /group of templates |
Short name |
INITIAL MARKET VALUATION |
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106 |
C 106.00 |
INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION |
IMV |
VaR AND sVaR NON-CTP |
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107,1 |
C 107.01 |
DETAILS |
VaR&SVaR 1 |
107,2 |
C 107.02 |
BASE CURRENCY RESULTS |
VaR&SVaR 2 |
ONE YEAR PROFIT & LOSS VaR |
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108 |
C 108.00 |
ONE-YEAR PROFIT & LOSS VaR |
1Y P&L |
INCREMENTAL RISK CHARGE |
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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 |
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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
Portfolio ID |
Portfolio Modelled for Var + sVaR (YES/NO) |
Portfolio Modelled for IRC (YES/NO) |
Portfolio 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 AND sVaR NON-CTP. DETAILS
Option |
Free text box |
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010 |
020 |
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VaR |
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010 |
Methodology |
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020 |
Liquidity Horizon |
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030 |
Lenght of observation period |
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040 |
Data Weighting |
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050 |
Backtesting add-on |
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060 |
Regulatory add-on |
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SVaR |
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070 |
Methodology |
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080 |
Liquidity Horizon |
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090 |
Regulatory add-on |
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C 107.02 — VaR AND sVaR NON-CTP. BASE CURRENCY RESULTS
Date |
VaR |
sVaR |
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010 |
020 |
030 |
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Portfolio |
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C 108.00 — ONE-YEAR PROFIT & LOSS VaR
Date |
Daily P&L |
010 |
020 |
Portfolio |
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C 109.01 — IRC. DETAILS OF THE MODEL
Option |
Free text box |
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Row |
Item |
010 |
020 |
010 |
Number of modelling factors |
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020 |
Source of LGDs |
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C 109.02 — IRC. DETAILS BY PORTFOLIO
Option |
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Row |
Item |
010 |
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Portfolio |
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010 |
Liquidity Horizon |
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020 |
Source of PDs |
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030 |
Source of transition matrices |
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C 109.03 — IRC. AMOUNT BY PORTFOLIO/DATE
Date |
IRC |
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010 |
020 |
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Portfolio |
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C 110.01 — CT. DETAILS OF THE MODEL
Option |
Free text box |
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Row |
Item |
010 |
020 |
010 |
Number of modelling factors |
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020 |
Source of LGDs |
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C 110.02 — CT. DETAILS BY PORTFOLIO
Option |
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Row |
Item |
010 |
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Portfolio |
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010 |
Liquidity Horizon |
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020 |
Source of PDs |
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030 |
Source of transition matrices |
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C 110.03 — CT. APR BY PORTFOLIO/DATE
Date |
APR |
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010 |
020 |
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Portfolio |
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