EN  . C - Prudent Valuation: Model Risk AVA (PRUVAL 3) RANK MODEL RISK CATEG ORY PRO- DUCT OBSER- VABILITY MODEL RISK AVA AGGREGA TED AVA CALCULAT ED UNDER METHOD 2 FAIR-VALUED ASSETS AND LIABILITIES IPV DIFFERENCE (OUTPUT TESTING) IPV COVER- AGE (OUTPUT TESTING) FAIR VALUE ADJUSTMENTS DAY1 P&L OF WHICH: USING THE EXPERT BASED APP- ROACH OF WHICH: AGGRE- GATED USING METHOD 2 FAIR VALUED ASSETS FAIR VALUED LIABILITIES MODEL RISK EARLY TERMI NATION. C – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3). General remarks 181. This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) /101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level.EN.   182. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) /101. That information corresponds to the information reported in column of template C. 183. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs. 184. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) /101. 185. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.. Instructions concerning specific positions  RANK 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. MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model. RISK CATEGORY 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: IR – interest rates FX – foreign exchange CR – credit EQ – equities CO – commodities PRODUCT 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) /101, that is valued using the model. OBSERVABILITY 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+’.EN  .  MODEL RISK AVA Article 11(1) of Delegated Regulation (EU) /101. Individual model risk AVA before diversification benefit, but after portfolio netting where relevant. OF WHICH: USING EXPERT-BASED APPROACH Amounts in column that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) /101. OF WHICH: AGGREGATED USING METHOD 2 Amounts in column that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) /101. These amounts correspond to FV – PV in the terminology of that Annex. AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) /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. - FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column as stated in the financial statements under the applicable framework. FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column as stated in the financial statements under the applicable framework. FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column as stated in the financial statements under the applicable framework. IPV DIFFERENCE (OUTPUT TESTING) 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.EN.    IPV COVERAGE (OUTPUT TESTING) 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. – FAIR VALUE ADJUSTMENTS Fair Value adjustments as referred to in columns and of template C that have been applied to the positions mapped to the model in column. DAY 1 P&L Adjustments as defined in column of template C that have been applied to the positions mapped to the model in column.
EN.   C - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) RANK RISK CATEGORY PRODUCT UNDERLYING CONCEN- TRATED POSITION SIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCEN- TRATED POSITIONS AVA CONCEN- TRATED POSITION FAIR VALUE ADJUSTMENT IPV DIFFERENCE   C – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4). General remarks 186. This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) /101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level. 187. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) /101. This information shall correspond to the information reported in column of template C. 188. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs. 189. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) /101. 190. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.. Instructions concerning specific positions  RANK 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. RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position. Institutions shall report the following codes: IR – Interest Rates FX – Foreign exchange CR – Credit EQ – Equities CO – CommoditiesEN  .  PRODUCT 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) /101. UNDERLYING Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives. CONCENTRATED POSITION SIZE Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) /101, expressed in the unit described in column. SIZE MEASURE 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. 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 Market value of the position. PRUDENT EXIT PERIOD The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) /101. CONCENTRATED POSITIONS AVA The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) /101 for the individual concentrated valuation position concerned. CONCENTRATED POSITION FAIR VALUE ADJUSTMENT 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.EN.    IPV DIFFERENCE 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.