| 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 | ||