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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
concepts2md_met:si2508y
Market Risk and market risk sub-categories dataMKT100
concepts2md_met:si2508y
Total market risk MKT101
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b98y
s2c_dim:VGs2c_AM:x80y
Interest rate risk MKT102
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b112y
s2c_dim:VGs2c_AM:x80y
Inflation risk MKT103
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b114y
s2c_dim:VGs2c_AM:x80y
Credit Spread risk MKT104
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b111y
s2c_dim:VGs2c_AM:x80y
Investment credit default / transition riskMKT105
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b123y
s2c_dim:VGs2c_AM:x80y
Equity riskMKT106
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b109y
s2c_dim:VGs2c_AM:x80y
Property riskMKT107
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b110y
s2c_dim:VGs2c_AM:x80y
Currency riskMKT108
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b113y
s2c_dim:VGs2c_AM:x80y
Other market risk MKT109
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b124y
s2c_dim:VGs2c_AM:x80y
Derivatives riskMKT110
conceptboemd_met:si637y
s2c_dim:EXs2c_EX:x13y
s2c_dim:RTboec_s2c_RT:b125y
s2c_dim:VGs2c_AM:x80y
Investments and cash within scope of the market risk model.MKT200
concepts2md_met:si2508y
Property (other than for own use)MKT201
conceptboemd_met:si633y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Holdings in related undertakings, including participations MKT202
conceptboemd_met:si632y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Equities (listed and unlisted) MKT203
conceptboemd_met:si628y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Government bondsMKT204
conceptboemd_met:si629y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Corporate bondsMKT205
conceptboemd_met:si625y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Structured notesMKT206
conceptboemd_met:si634y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Collateralised securitiesMKT207
conceptboemd_met:si623y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Derivatives included under investments on a Solvency II balance sheetMKT208
conceptboemd_met:si627y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Deposits other than cash equivalentsMKT209
conceptboemd_met:si626y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Other investmentsMKT210
conceptboemd_met:si630y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Other loans and mortgages MKT211
conceptboemd_met:si631y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Cash and cash equivalents MKT212
conceptboemd_met:si622y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Collective investments undertakings (reported as such in S.02.01 and S.06.03)MKT213
conceptboemd_met:si624y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Total assets within scope of the market risk module of the internal modelMKT214
conceptboemd_met:si635y
s2c_dim:BLs2c_LB:x91y
s2c_dim:VGs2c_AM:x80y
Asset duration (total portfolio converted to reported currency) as at reference date (years)MKT215
conceptboemd_met:si641y
s2c_dim:VGs2c_AM:x80y
Best estimate duration (total portfolio converted to reported currency) as at reference date (years)MKT216
conceptboemd_met:si639y
s2c_dim:BLs2c_LB:x79y
s2c_dim:VGs2c_AM:x80y
PV100 MKT217
conceptboemd_met:si640y
s2c_dim:VGs2c_AM:x80y
Total invested assets MKT218
conceptboemd_met:si636y
s2c_dim:VGs2c_AM:x80y
Total best estimate technical provisionMKT219
conceptboemd_met:si638y
s2c_dim:BLboec_s2c_LB:b49y
s2c_dim:VGs2c_AM:x80y
s2c_dim:VLs2c_VM:x5y
Equity, Property and interest rate volatility data - GBPMKT300
concepts2md_met:si2508y
Well diversified equity portfolio total annual returnMKT301
conceptboemd_met:si657y
s2c_dim:RTboec_s2c_RT:b109y
Increase in equity volatility 1 year ATM put optionMKT302
conceptboemd_met:si645y
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b109y
Increase in equity volatility 10 year ATM put optionMKT303
conceptboemd_met:si645y
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b109y
Property commercial portfolio total annual returnMKT304
conceptboemd_met:si654y
s2c_dim:RTboec_s2c_RT:b110y
Property residential portfolio total annual returnMKT305
conceptboemd_met:si655y
s2c_dim:RTboec_s2c_RT:b110y
Increase in property volatility 10 year ATM optionMKT306
conceptboemd_met:si648y
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b110y
Risk free rates data - GBPMKT400
concepts2md_met:si2508y
Increase in risk free zero coupon bond spot yield Term 1 MKT401
conceptboemd_met:si650y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b112y
Increase in risk free zero coupon bond spot yield Term 2MKT402
conceptboemd_met:si650y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b112y
Increase in risk free zero coupon bond spot yield Term 5MKT403
conceptboemd_met:si650y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b112y
Increase in risk free zero coupon bond spot yield Term 10MKT404
conceptboemd_met:si650y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b112y
Increase in risk free zero coupon bond spot yield Term 15MKT405
conceptboemd_met:si650y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b112y
Increase in risk free zero coupon bond spot yield Term 25MKT406
conceptboemd_met:si650y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b20y
s2c_dim:RTboec_s2c_RT:b112y
Change in risk free yield component of IAS19 discount yieldMKT407
conceptboemd_met:si649y
s2c_dim:RTboec_s2c_RT:b112y
Increase in implied interest yield volatility on 5 X 15 ATM swaptionMKT408
conceptboemd_met:si647y
s2c_dim:RTboec_s2c_RT:b112y
Implied Inflation data - GBPMKT500
concepts2md_met:si2508y
Increase in implied inflation spot yield Term 2MKT501
conceptboemd_met:si646y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b114y
Increase in implied inflation spot yield Term 5MKT502
conceptboemd_met:si646y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b114y
Increase in implied inflation spot yield Term 10MKT503
conceptboemd_met:si646y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b114y
Increase in implied inflation spot yield Term 15MKT504
conceptboemd_met:si646y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b114y
Increase in implied inflation spot yield Term 25MKT505
conceptboemd_met:si646y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b20y
s2c_dim:RTboec_s2c_RT:b114y
Credit spread data - GBPMKT600
concepts2md_met:si2508y
Increase in AAA rate ZCB spot yield spread (over RF) Term 1MKT601
boec_dim:RGboec_RX:b1y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AAA rate ZCB spot yield spread (over RF) Term 2MKT602
boec_dim:RGboec_RX:b1y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AAA rate ZCB spot yield spread (over RF) Term 5MKT603
boec_dim:RGboec_RX:b1y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AAA rate ZCB spot yield spread (over RF) Term 10MKT604
boec_dim:RGboec_RX:b1y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AAA rate ZCB spot yield spread (over RF) Term 15MKT605
boec_dim:RGboec_RX:b1y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AA rate ZCB spot yield spread (over RF) Term 1MKT606
boec_dim:RGboec_RX:b2y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AA rate ZCB spot yield spread (over RF) Term 2MKT607
boec_dim:RGboec_RX:b2y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AA rate ZCB spot yield spread (over RF) Term 5MKT608
boec_dim:RGboec_RX:b2y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AA rate ZCB spot yield spread (over RF) Term 10MKT609
boec_dim:RGboec_RX:b2y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b111y
Increase in AA rate ZCB spot yield spread (over RF) Term 15MKT610
boec_dim:RGboec_RX:b2y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b111y
Increase in A rate ZCB spot yield spread (over RF) Term 1MKT611
boec_dim:RGboec_RX:b3y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b111y
Increase in A rate ZCB spot yield spread (over RF) Term 2MKT612
boec_dim:RGboec_RX:b3y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b111y
Increase in A rate ZCB spot yield spread (over RF) Term 5MKT613
boec_dim:RGboec_RX:b3y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b111y
Increase in A rate ZCB spot yield spread (over RF) Term 10MKT614
boec_dim:RGboec_RX:b3y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b111y
Increase in A rate ZCB spot yield spread (over RF) Term 15MKT615
boec_dim:RGboec_RX:b3y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b111y
Increase in BBB rate ZCB spot yield spread (over RF) Term 1MKT616
boec_dim:RGboec_RX:b4y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b111y
Increase in BBB rate ZCB spot yield spread (over RF) Term 2MKT617
boec_dim:RGboec_RX:b4y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b111y
Increase in BBB rate ZCB spot yield spread (over RF) Term 5MKT618
boec_dim:RGboec_RX:b4y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b111y
Increase in BBB rate ZCB spot yield spread (over RF) Term 10MKT619
boec_dim:RGboec_RX:b4y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b111y
Increase in BBB rate ZCB spot yield spread (over RF) Term 15MKT620
boec_dim:RGboec_RX:b4y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b111y
Increase in B rate ZCB spot yield spread (over RF) Term 1MKT621
boec_dim:RGboec_RX:b5y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b111y
Increase in B rate ZCB spot yield spread (over RF) Term 2MKT622
boec_dim:RGboec_RX:b5y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b111y
Increase in B rate ZCB spot yield spread (over RF) Term 5MKT623
boec_dim:RGboec_RX:b5y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b111y
Increase in B rate ZCB spot yield spread (over RF) Term 10MKT624
boec_dim:RGboec_RX:b5y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b111y
Increase in B rate ZCB spot yield spread (over RF) Term 15MKT625
boec_dim:RGboec_RX:b5y
conceptboemd_met:si652y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b111y
Change in credit spread risk free yield component of IAS19 discount yieldMKT626
conceptboemd_met:si644y
s2c_dim:RTboec_s2c_RT:b111y
Swap spread data - GBPMKT790
concepts2md_met:si2508y
Increase in Spread of swaps over gilts spot yield Term 1MKT791
conceptboemd_met:si651y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
s2c_dim:RTboec_s2c_RT:b111y
Increase in Spread of swaps over gilts spot yield Term 2MKT792
conceptboemd_met:si651y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
s2c_dim:RTboec_s2c_RT:b111y
Increase in Spread of swaps over gilts spot yield Term 5MKT793
conceptboemd_met:si651y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
s2c_dim:RTboec_s2c_RT:b111y
Increase in Spread of swaps over gilts spot yield Term 10MKT794
conceptboemd_met:si651y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
s2c_dim:RTboec_s2c_RT:b111y
Increase in Spread of swaps over gilts spot yield Term 15MKT795
conceptboemd_met:si651y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
s2c_dim:RTboec_s2c_RT:b111y
Increase in Spread of swaps over gilts spot yield Term 25MKT796
conceptboemd_met:si651y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b20y
s2c_dim:RTboec_s2c_RT:b111y
Inflation data for modelling asset values - GBPMKT900
concepts2md_met:si2508y
Inflation spot rate Term 1MKT901
conceptboemd_met:si653y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b15y
Inflation spot rate Term 2MKT902
conceptboemd_met:si653y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b16y
Inflation spot rate Term 5MKT903
conceptboemd_met:si653y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b17y
Inflation spot rate Term 10MKT904
conceptboemd_met:si653y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b18y
Inflation spot rate Term 15MKT905
conceptboemd_met:si653y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b19y
Inflation spot rate Term 25MKT906
conceptboemd_met:si653y
s2c_dim:OCs2c_CU:GBPy
s2c_dim:PYboec_s2c_TI:b20y
Description of measure of GBP inflation in above outputsMKT907
conceptboemd_met:si712y
s2c_dim:OCs2c_CU:GBPy
List of any other inflation measures for this currency output by the model, and the purpose of each of these measuresMKT908
conceptboemd_met:si713y
s2c_dim:OCs2c_CU:GBPy

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