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. |