C 32.03 - Prudent valuation. Model risk AVA





RankModelRisk categoryProductObservabilityModel risk AVAAggregated AVA calculated under method 2Fair-valued assets and liabilitiesIPV difference (output testing)IPV coverage (output testing)Fair value adjustmentsDay1 P&L
of which: using expert approachof which: aggregated using method 2 FV assetsFV liabilities Model riskEarly termination
CodeLabel0005001000200030004000500060007000800090010001100120013001400150
999 Top twenty individual model risk AVAs417141417133417134417135409340409294409349409350409022409061417142417143417070417105417124




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Approach for prudential purposesApproach used for the calculation of capital requirements.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Accounting portfolioAccounting portfolios shall mean financial instruments aggregated by valuation rules (e.g. "Available-for-sale financial assets"). Accounting portfolios only comprise financial assets and financial liabilities.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Prudential portfolioDefines whether it is reported the trading book business, the "banking" book business, or both of them.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Model Risk AVA RankIdentifies an individual model risk AVA that contributes to the total category level model AVA computed in accordance with Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation. Should follow the numerical order 1, 2, 3, etc, with 1 being assigned to the highest (in terms of AVA amount contributed to the total category level model risk AVA) individual model risk risk AVA, 2 to the second highest and so on.
Integers - Integers
Method to determine AVA
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
DiversificationDiversification (PruVal)
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Source of valuation uncertainty (position / portfolio level)Valuation adjustments (PruVal)
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.