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