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.

ANNEX VII RESULTS SUPERVISORY 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 AND EXCLUSION JUSTIFICATION

IMV

VaR AND sVaR NON-CTP

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

108

C 108.00

ONE-YEAR PROFIT & LOSS VaR

1Y 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

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

010

020

VaR

010

Methodology

020

Liquidity Horizon

030

Lenght of observation period

040

Data Weighting

050

Backtesting add-on

060

Regulatory add-on

SVaR

070

Methodology

080

Liquidity Horizon

090

Regulatory add-on

C 107.02 — VaR AND sVaR NON-CTP. BASE CURRENCY RESULTS

Date

VaR

sVaR

010

020

030

Portfolio

C 108.00 — ONE-YEAR PROFIT & LOSS VaR

Date

Daily P&L

010

020

Portfolio

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

Option

Row

Item

010

Portfolio

010

Liquidity Horizon

020

Source of PDs

030

Source of transition matrices

C 109.03 — IRC. AMOUNT BY PORTFOLIO/DATE

Date

IRC

010

020

Portfolio

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

Option

Row

Item

010

Portfolio

010

Liquidity Horizon

020

Source of PDs

030

Source of transition matrices

C 110.03 — CT. APR BY PORTFOLIO/DATE

Date

APR

010

020

Portfolio