Content Options

Content Options

View Options

Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

ANNEX VI RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS

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:

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 26 October 2015 at 5:30 pm CET 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:

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:

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:

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:

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.

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.

070

Methodology

One of the following shall be reported:

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:

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.

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 Annex V (Section 1) shall be reported.

Column

Label

Legal reference

Instructions

010

Date

020

VaR

Article 365 of Regulation (EU) No 575/2013

The 10-day VaR obtained for each individual portfolio, without applying the "3+" regulatory multiplier, shall be reported.

Figures shall be reported for each of the dates provided in column 010. Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency bof the portfolio.

030

sVaR

Article 365 of Regulation (EU) No 575/2013

The 10-day sVaR obtained for each individual portfolio, without applying the "3+" regulatory multiplier, shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).

Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.

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 Annex V (Section 1) shall be reported.

Column

Label

Legal reference

Instructions

010

Date

Article 365(1)(d) of Regulation (EU) No 575/2013

Each business day, according to the calendar in the institution's jurisdiction, between 19 December 2014 and 18 December 2015 shall be reported.

020

Daily P&L

The one-year data series with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 10 with the end-of-day valuation on the previous business day).

In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only if there really was no change in the hypothetical value of the portfolio on a given business day).

Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.

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:

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:

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 Annex V (Section 1), only for those portfolios where IRC is requested, shall be reported.

Row

Label

Legal reference

Instructions

10

Liquidity Horizon

Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3

The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

20

Source of PDs

EBA/GL/2012/3

The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

30

Source of transition matrices

EBA/GL/2012/3

The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

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 Annex V(Section 1), only for those portfolios where IRC is requested, shall be reported.

Column

Label

Legal reference

Instructions

010

Date

The date of the IRC shall be reported. It shall take all the following values:

020

IRC

Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3

The regulatory IRC obtained for each individual portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).

Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.

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:

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:

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 Annex V(Section 3) shall be reported.

Row

Label

Legal reference

Instructions

010

Liquidity Horizon

Article 377(2) of Regulation (EU) No 575/2013

The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

020

Source of PDs

Article 377 of Regulation (EU) No 575/2013

The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

030

Source of transition matrices

Article 377 of Regulation (EU) No 575/2013

The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

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 Annex V (Section 3).

Column

Label

Legal reference

Instructions

010

Date

Article 377 of Regulation (EU) No 575/2013

The date of the all price risk ("APR") shall be reported. It shall take all the following values:

60

APR

Article 377 of Regulation (EU) No 575/2013

The results obtained by applying the regulatory Correlation Trading Model to each individual portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).

Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio.