Division 6.3.2 Instructions concerning specific positionsF1

The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.

Internal name (alpha-numerical) of the model used by the institution to identify the model.

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.

Institutions shall report the following codes:

1. IR –

   interest rates

2. FX –

   foreign exchange

3. CR –

   credit

4. EQ –

   equities

5. CO –

   commodities

Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.

Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria:

• The price observation is a price at which the institution has conducted a transaction;

• It is a verifiable price for an actual transaction between third parties;

• The price is obtained from a committed quote.

Institutions shall report one of the following values: ‘ none ’ , ‘ 1-6 ’ , ‘ 6-24 ’ , ‘ 24-100 ’ , ‘ 100+ ’ .

Article 11(1) of Delegated Regulation (EU) 2016/101.

Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.

Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.

Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.

The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.

Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.

The sum of unadjusted difference amounts ( ‘ IPV difference ’ ) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products.

Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.

No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.

The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.

Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.