Index IndexConstraints ConstraintsDPM Map DPM Map

boemd_tIM.03.07.01.03 - Market Risk Outputs - comments

IM.03.07.01.03
At balance sheet date:
For rows MKT101 to MKT110 - Firm's definition, used in its model, of the risk component; and any relevant comments or explanations. For rows MKT201 to MKT213 explanation of any difference between quantum of assets reported in C101 and quantum of assets reported in the Solvency II balance sheet {S.02.01, C0010}. In addition for MKT211 information about any loans to connected parties. For other rows - any relevant comments or notes.
C301
Risk ComponentMKT099
Market Risk and market risk sub-categories dataMKT100
Total market risk MKT101
Interest rate risk MKT102
Inflation risk MKT103
Credit Spread risk MKT104
Investment credit default / transition riskMKT105
Equity riskMKT106
Property riskMKT107
Currency riskMKT108
Other market risk MKT109
Derivatives riskMKT110
Investments and cash within scope of the market risk model.MKT200
Property (other than for own use)MKT201
Holdings in related undertakings, including participations MKT202
Equities (listed and unlisted) MKT203
Government bondsMKT204
Corporate bondsMKT205
Structured notesMKT206
Collateralised securitiesMKT207
Derivatives included under investments on a Solvency II balance sheetMKT208
Deposits other than cash equivalentsMKT209
Other investmentsMKT210
Other loans and mortgages MKT211
Cash and cash equivalents MKT212
Collective investments undertakings (reported as such in S.02.01 and S.06.03)MKT213
Total assets within scope of the market risk module of the internal modelMKT214
Asset duration (total portfolio converted to reported currency) as at reference date (years)MKT215
Best estimate duration (total portfolio converted to reported currency) as at reference date (years)MKT216
PV100 MKT217
Total invested assets MKT218
Total best estimate technical provisionMKT219
Equity, Property and interest rate volatility data - GBPMKT300
Well diversified equity portfolio total annual returnMKT301
Increase in equity volatility 1 year ATM put optionMKT302
Increase in equity volatility 10 year ATM put optionMKT303
Property commercial portfolio total annual returnMKT304
Property residential portfolio total annual returnMKT305
Increase in property volatility 10 year ATM optionMKT306
Risk free rates data - GBPMKT400
Increase in risk free zero coupon bond spot yield Term 1 MKT401
Increase in risk free zero coupon bond spot yield Term 2MKT402
Increase in risk free zero coupon bond spot yield Term 5MKT403
Increase in risk free zero coupon bond spot yield Term 10MKT404
Increase in risk free zero coupon bond spot yield Term 15MKT405
Increase in risk free zero coupon bond spot yield Term 25MKT406
Change in risk free yield component of IAS19 discount yieldMKT407
Increase in implied interest yield volatility on 5 X 15 ATM swaptionMKT408
Implied Inflation data - GBPMKT500
Increase in implied inflation spot yield Term 2MKT501
Increase in implied inflation spot yield Term 5MKT502
Increase in implied inflation spot yield Term 10MKT503
Increase in implied inflation spot yield Term 15MKT504
Increase in implied inflation spot yield Term 25MKT505
Credit spread data - GBPMKT600
Increase in AAA rate ZCB spot yield spread (over RF) Term 1MKT601
Increase in AAA rate ZCB spot yield spread (over RF) Term 2MKT602
Increase in AAA rate ZCB spot yield spread (over RF) Term 5MKT603
Increase in AAA rate ZCB spot yield spread (over RF) Term 10MKT604
Increase in AAA rate ZCB spot yield spread (over RF) Term 15MKT605
Increase in AA rate ZCB spot yield spread (over RF) Term 1MKT606
Increase in AA rate ZCB spot yield spread (over RF) Term 2MKT607
Increase in AA rate ZCB spot yield spread (over RF) Term 5MKT608
Increase in AA rate ZCB spot yield spread (over RF) Term 10MKT609
Increase in AA rate ZCB spot yield spread (over RF) Term 15MKT610
Increase in A rate ZCB spot yield spread (over RF) Term 1MKT611
Increase in A rate ZCB spot yield spread (over RF) Term 2MKT612
Increase in A rate ZCB spot yield spread (over RF) Term 5MKT613
Increase in A rate ZCB spot yield spread (over RF) Term 10MKT614
Increase in A rate ZCB spot yield spread (over RF) Term 15MKT615
Increase in BBB rate ZCB spot yield spread (over RF) Term 1MKT616
Increase in BBB rate ZCB spot yield spread (over RF) Term 2MKT617
Increase in BBB rate ZCB spot yield spread (over RF) Term 5MKT618
Increase in BBB rate ZCB spot yield spread (over RF) Term 10MKT619
Increase in BBB rate ZCB spot yield spread (over RF) Term 15MKT620
Increase in B rate ZCB spot yield spread (over RF) Term 1MKT621
Increase in B rate ZCB spot yield spread (over RF) Term 2MKT622
Increase in B rate ZCB spot yield spread (over RF) Term 5MKT623
Increase in B rate ZCB spot yield spread (over RF) Term 10MKT624
Increase in B rate ZCB spot yield spread (over RF) Term 15MKT625
Change in credit spread risk free yield component of IAS19 discount yieldMKT626
Swap spread data - GBPMKT790
Increase in Spread of swaps over gilts spot yield Term 1MKT791
Increase in Spread of swaps over gilts spot yield Term 2MKT792
Increase in Spread of swaps over gilts spot yield Term 5MKT793
Increase in Spread of swaps over gilts spot yield Term 10MKT794
Increase in Spread of swaps over gilts spot yield Term 15MKT795
Increase in Spread of swaps over gilts spot yield Term 25MKT796
Inflation data for modelling asset values - GBPMKT900
Inflation spot rate Term 1MKT901
Inflation spot rate Term 2MKT902
Inflation spot rate Term 5MKT903
Inflation spot rate Term 10MKT904
Inflation spot rate Term 15MKT905
Inflation spot rate Term 25MKT906
Description of measure of GBP inflation in above outputsMKT907
List of any other inflation measures for this currency output by the model, and the purpose of each of these measuresMKT908

Legal Notice: This demo website displays data, which is publicly available on the Internet. Copyright of all materials is owned by the corresponding data provider. Links to data providers are given for each taxonomy. Data is displayed without any change of lexical information, or identifiers. No part of this website should be considered normative information.

© 2021 by Skynet LLC