Division 6.4.2 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 concentrated positions AVAs, 2 to the second highest and so on.

The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position.

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 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.

Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives.

Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050.

Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040.

In the case of positions in bonds or equity, please report the unit used for internal risk management, such as ‘ number of bonds ’ , ‘ number of shares ’ or ‘ market value ’ .

In the case of position in derivatives, please report the unit used for internal risk management, such as ‘ PV01; EUR per 1 basis point parallel yield curve shift ’ .

Market value of the position.

The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101.

The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned.

The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based.

The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned.

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 individual concentrated valuation position concerned.

Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system 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.