Commission Implementing Regulation (EU) No 680/2014Show full title

Columns
0005	RANK The rank is a row identifier and shall be unique for each row in the table. 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.
0010	MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model.
0020	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
0030	PRODUCT Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by Article 19(3)(a) of the Delegated Regulation (EU) 2016/101 on prudent valuation, that is valued using the model.
0040	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+ ’ .
0050	MODEL RISK AVA Article 11(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation Individual model risk AVA before diversification benefit, but after portfolio netting where relevant.
0060	OF WHICH: USING EXPERT-BASED APPROACH Amounts in column 50 that have been calculated under the expert-based approach as defined in Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation.
0070	OF WHICH: AGGREGATED USING METHOD 2 Amounts in column 0050 that have been aggregated under Method 2 of Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to FV – PV in the terminology of the Annex.
0080	AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed according to Article 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, of individual model risk AVAs that are aggregated using Method 2 of the Annex to the Delegated Regulation (EU) 2016/101 on prudent valuation. This corresponds to APVA in the terminology of the Annex.
0090 -0100	FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0090	FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column 10 as stated in the financial statements under the applicable framework.
0100	FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.
0110	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 Art 105(8) of 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.
0120	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 110 .
0130 – 0140	FAIR VALUE ADJUSTMENTS Fair Value adjustments as defined in columns 190 and 240 of template C 32.02 that have been applied to the positions mapped to the model in column 10 .
0150	DAY 1 P&L Adjustments as defined in column 260 of template C 32.02 that have been applied to the positions mapped to the model in column 10 .]