OpenLegislation

Division C107.01 – VaR & sVaR Non-CTP. DetailsF1

United Kingdom

Original text. Later amendments are not shown.

Row Label Legal reference Instructions
010 Methodology

One of the following shall be reported in column 010:

  1. (a)

    Historical Simulation;

  2. (b)

    Montecarlo;

  3. (c)

    Parametric;

  4. (d)

    Combination/Other (please specify).

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column.

020 Computation of 10-day Horizon Article 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

  1. (a)

    1 day re-scaled to 10 days;

  2. (b)

    10 days with overlapping periods;

  3. (c)

    10 days other Methodology.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

030 Length of observation period Article 365(1)(d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

  1. (a)

    1 year;

  2. (b)

    more than 1 and up to 2 years;

  3. (c)

    more than 2 and up to 3 years;

  4. (d)

    more than 3 years.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

040 Data Weighting Article 365(1)(d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

  1. (a)

    Unweighted;

  2. (b)

    Weighted;

  3. (c)

    The higher of the metrics in points (a) and (b).

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

050 Backtesting add-on Article 366(2) of Regulation (EU) No 575/2013

Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRR

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

060 VaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 ( ‘ at least 3 ’ )

Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

070 Methodology

One of the following shall be reported in column 010:

  1. (a)

    Historical Simulation;

  2. (b)

    Montecarlo;

  3. (c)

    Parametric;

  4. (d)

    Combination/Other (please specify).

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column.

080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

  1. (a)

    1 day re-scaled to 10 days;

  2. (b)

    10 days with overlapping periods;

  3. (c)

    10 days other Methodology.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

090 sVaR Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013

Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

100 Stressed VaR (i.e. sVaR) period Article 365(2) of Regulation (EU) No 575/2013

One of the following shall be reported in column 010:

  1. (a)

    Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from;

  2. (b)

    Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from;

  3. (c)

    Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from;

  4. (d)

    Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from;

  5. (e)

    Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;

  6. (f)

    Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;

  7. (g)

    Other choices for the stressed VaR calibration (please specify).

Column 020 shall be used by the institution to provide the starting date (e.g. dd/mm/yyyy) in case of options (a) or (b) given in column 010; the starting dates (e.g. dd/mm/yyyy) used for each stressed VaR run in case of options (c) or (d) given in column 010; and, to provide more clarification on the 12-month period used for each stressed VaR run in case of options (e), (f) and (g) given in column 010.

Annotations

Textual amendments

F1

Substituted by Commission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance).