Directive 2006/48/EC of the European Parliament and of the Council (repealed)Dangos y teitl llawn

[F1 10. The following information shall be disclosed by each credit institution which calculates its capital requirements in accordance with Annex V to Directive 2006/49/EC: U.K.

(a)

for each sub-portfolio covered:

(i)

the characteristics of the models used;

(ii)

for the capital charges in accordance with points 5a and 5l of Annex V to Directive 2006/49/EC separately, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the credit institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model;

(iii)

a description of stress testing applied to the sub-portfolio;

(iv)

a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;

(b)

the scope of acceptance by the competent authority;

(c)

a description of the extent and methodologies for compliance with the requirements set out in Part B of Annex VII to Directive 2006/49/EC;

(d)

the highest, the lowest and the mean of the following:

(i)

the daily value-at-risk measures over the reporting period and as per the period end;

(ii)

the stressed value-at-risk measures over the reporting period and as per the period end;

(iii)

the capital charges in accordance with points 5a and 5l of Annex V to Directive 2006/49/EC separately over the reporting period and as per the period-end;

(e)

the amount of capital in accordance with points 5a and 5l of Annex V to Directive 2006/49/EC separately, together with the weighted average liquidity horizon for each sub-portfolio covered;

(f)

a comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio’s value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.]

Textual Amendments

F1 Substituted by Directive 2010/76/EU of the European Parliament and of the Council of 24 November 2010 amending Directives 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for re-securitisations, and the supervisory review of remuneration policies (Text with EEA relevance).