# Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance), Annex VI

Extent: E+W+S+N.I.

‘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).
’

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Source: https://www.legislation.gov.uk/eur/2017/1486/annex/VI (the official version)
Page: https://openlegislation.uk/eu-regulation-2017-1486/annex-VI
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.