Annex VI

United Kingdom

‘ANNEX VI

RESULTS: SUPERVISORY BENCHMARKING PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

C 106.00 — Initial Market Valuation and exclusion justification

Column Label Legal reference Instructions
010 Portfolio ID Sections 1 and 3 of Annex V The portfolio number taken from Annex V to this Implementing Regulation shall be reported.
020 Portfolio Modelled for Var + sVaR (YES/NO) Either YES or NO shall be reported.
030 Portfolio Modelled for IRC (YES/NO) Either YES or NO shall be reported.
040 Portfolio Modelled for Correlation Trading (YES/NO) Either YES or NO shall be reported.
050 Rationale for Exclusion Article 4
One of the following shall be reported:

(a)

Model not authorised by Regulator;

(b)

Instrument or underlying not authorised internally;

(c)

Underlying or modelling feature not contemplated internally.

060 Free text box An institution may provide any additional information in this column.
070 Initial Market Valuation
The mark-to-market value of each individual portfolio on 27 October 2016 at 5:30 pm CET.

The mark-to-market value of each individual portfolio expressed in units of the base currency of the instrument shall be reported.

C107.01 — VaR & sVaR Non-CTP. Details

Row Label Legal reference Instructions
010 Methodology
One of the following shall be reported:

(a)

Historical Simulation;

(b)

Montecarlo;

(c)

Parametric;

(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.

020 Computation of 10-day Horizon Article 365(1) of Regulation (EU) No 575/2013
One of the following shall be reported:

(a)

1 day re-scaled to 10 days;

(b)

10 days with overlapping periods;

(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:

(a)

1 year;

(b)

more than 1 and up to 2 years;

(c)

more than 2 and up to 3 years;

(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:

(a)

Unweighted;

(b)

Weighted;

(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 Back-testing add-on Article 366(2) of Regulation (EU) No 575/2013
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

Back-testing add-on means the addend with a value between 0 and 1 in accordance with Table 1 of Article 366(2) of Regulation (EU) No 575/2013.

060 Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’)
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

Regulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on.

070 Methodology
One of the following shall be reported:

(a)

Historical Simulation;

(b)

Montecarlo;

(c)

Parametric;

(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.

080 Computation of 10 day Horizon Article 365(1) of Regulation (EU) No 575/2013
One of the following shall be reported:

(a)

1 day re-scaled to 10 days;

(b)

10 days with overlapping periods;

(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 Regulatory add-on Article 366(2) of Regulation (EU) No 575/2013
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

Regulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on.

C 107.02 — VaR and sVaR Non-CTP. Base Currency Results

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number taken from Section 1 of Annex V to this Implementing Regulation shall be reported.

Column Label Legal reference Instructions
010 Date
VaR and sVaR value shall be reported at the following dates:

(a)

06/02/2017;

(b)

07/02/2017;

(c)

08/02/2017;

(d)

09/02/2017;

(e)

10/02/2017;

(f)

13/02/2017;

(g)

14/02/2017;

(h)

15/02/2017;

(i)

16/02/2017;

(j)

17/02/2017

020 VaR Article 365 of Regulation (EU) No 575/2013
The 10-day VaR obtained for each individual portfolio, without applying the “3+” regulatory multiplier, shall be reported.

Figures shall be reported for each of the dates provided in column 010.

030 sVaR Article 365 of Regulation (EU) No 575/2013
The 10-day sVaR obtained for each individual portfolio, without applying the “3+” regulatory multiplier, shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).

C 108.00 — One year Profit & Loss VaR

This template shall be filled only by institutions that calculate VaR using historical simulation.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 1 of Annex V The Portfolio number taken from Section 1 of Annex V to this Implementing Regulation shall be reported.

Column Label Legal reference Instructions
010 Date Article 365(1)(d) of Regulation (EU) No 575/2013 Each business day, according to the calendar in the institution's jurisdiction, between 17 February 2017 and 15 February 2016 shall be reported.
020 Daily P&L
Institutions that calculate VaR using Historical Simulation shall fill the one-year data series with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 10 with the end-of-day valuation on the previous business day).

In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only if there really was no change in the hypothetical value of the portfolio on a given business day).

C 109.01 — IRC. Details of the Model

Row Label Legal reference Instructions
010 Number of modelling factors EBA/GL/2012/3
The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:

(a)

1;

(b)

2;

(c)

More than 2.

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

020 Source of LGDs EBA/GL/2012/3
The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:

(a)

Market Convention;

(b)

LGD used in IRB;

(c)

Other.

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

C 109.02 — IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number taken from Section 1 of Annex V to this Implementing Regulation for those portfolios only where IRC is requested, shall be reported.

Row Label Legal reference Instructions
10 Liquidity Horizon Article 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3
The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

3 months;

(b)

3 to 6 months;

(c)

6 to 9 months;

(d)

9 to 12 months.

20 Source of PDs EBA/GL/2012/3
The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating Agencies;

(b)

IRB;

(c)

Market implied;

(d)

Other.

30 Source of transition matrices EBA/GL/2012/3
The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating Agencies;

(b)

IRB;

(c)

Market implied;

(d)

Other.

C 109.03 — IRC. Amount by Portfolio/Date

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 1 of Annex V The portfolio number taken from Section 1 of Annex V to this Implementing Regulation for those portfolios only where IRC is requested, shall be reported.

Column Label Legal reference Instructions
010 Date
IRC shall be reported at the following dates:

(a)

06/02/2017;

(b)

07/02/2017;

(c)

08/02/2017;

(d)

09/02/2017;

(e)

10/02/2017;

(f)

13/02/2017;

(g)

14/02/2017;

(h)

15/02/2017;

(i)

16/02/2017;

(j)

17/02/2017

020 IRC Articles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3
The regulatory IRC obtained for each individual portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).

C 110.01 — CT. Details of the Model.

Row Label Legal reference Instructions
010 Number of modelling factors Article 377 of Regulation (EU) No 575/2013
The number of modelling factors at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:

(a)

1;

(b)

2;

(c)

More than 2.

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

020 Source of LGDs Article 377 of Regulation (EU) No 575/2013
The source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:

(a)

Market Convention;

(b)

LGD used in IRB;

(c)

Other.

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

C 110.02 — CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 3 of Annex V The portfolio number taken from Section 3 of Annex V to this Implementing Regulation shall be reported.

Row Label Legal reference Instructions
010 Liquidity Horizon Article 377(2) of Regulation (EU) No 575/2013
The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

3 months;

(b)

3 to 6 months;

(c)

6 to 9 months;

(d)

9 to 12 months.

020 Source of PDs Article 377 of Regulation (EU) No 575/2013
The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating Agencies;

(b)

IRB;

(c)

Market implied;

(d)

Other.

030 Source of transition matrices Article 377 of Regulation (EU) No 575/2013
The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

(a)

Rating Agencies;

(b)

IRB;

(c)

Market implied;

(d)

Other.

C 110.03 — CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

Label Legal reference Instructions
Portfolio Section 3 of Annex V The portfolio number taken from Section 3 of Annex V to this Implementing Regulation shall be reported.

Column Label Legal reference Instructions
010 Date Article 377 of Regulation (EU) No 575/2013
All price risk (“APR”) shall be reported at the following dates:

(a)

06/02/2017;

(b)

07/02/2017;

(c)

08/02/2017;

(d)

09/02/2017;

(e)

10/02/2017;

(f)

13/02/2017;

(g)

14/02/2017;

(h)

15/02/2017;

(i)

16/02/2017;

(j)

17/02/2017.

60 APR Article 377 of Regulation (EU) No 575/2013
The results obtained by applying the regulatory Correlation Trading Model to each individual portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).

’

Column	Label	Legal reference	Instructions
010	Portfolio ID	Sections 1 and 3 of Annex V	The portfolio number taken from Annex V to this Implementing Regulation shall be reported.
020	Portfolio Modelled for Var + sVaR (YES/NO)		Either YES or NO shall be reported.
030	Portfolio Modelled for IRC (YES/NO)		Either YES or NO shall be reported.
040	Portfolio Modelled for Correlation Trading (YES/NO)		Either YES or NO shall be reported.
050	Rationale for Exclusion	Article 4	One of the following shall be reported: (a) Model not authorised by Regulator; (b) Instrument or underlying not authorised internally; (c) Underlying or modelling feature not contemplated internally.
060	Free text box		An institution may provide any additional information in this column.
070	Initial Market Valuation		The mark-to-market value of each individual portfolio on 27 October 2016 at 5:30 pm CET. The mark-to-market value of each individual portfolio expressed in units of the base currency of the instrument shall be reported.

Row	Label	Legal reference	Instructions
010	Methodology		One of the following shall be reported: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (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.
020	Computation of 10-day Horizon	Article 365(1) of Regulation (EU) No 575/2013	One of the following shall be reported: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (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: (a) 1 year; (b) more than 1 and up to 2 years; (c) more than 2 and up to 3 years; (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: (a) Unweighted; (b) Weighted; (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	Back-testing add-on	Article 366(2) of Regulation (EU) No 575/2013	Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. Back-testing add-on means the addend with a value between 0 and 1 in accordance with Table 1 of Article 366(2) of Regulation (EU) No 575/2013.
060	Regulatory add-on	Article 366(2) of Regulation (EU) No 575/2013 (‘at least 3’)	Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. Regulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on.
070	Methodology		One of the following shall be reported: (a) Historical Simulation; (b) Montecarlo; (c) Parametric; (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.
080	Computation of 10 day Horizon	Article 365(1) of Regulation (EU) No 575/2013	One of the following shall be reported: (a) 1 day re-scaled to 10 days; (b) 10 days with overlapping periods; (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	Regulatory add-on	Article 366(2) of Regulation (EU) No 575/2013	Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. Regulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on.