# Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance), Division 4: Aggregated portfolios

Extent: E+W+S+N.I.

Provide the required risk measures, along with the present value, of the following financial aggregated portfolios:
Aggreg. portfolio
Description
Combination of individual portfolios (individual portfolios as stated by the numbers in section 2
Base currency
Risk measures requested
57
ALL-IN no-CTP
1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43
EUR
VaR; sVaR; IRC
58
EQUITY cumulative
1, 2, 6, 7, 9
EUR
VaR and sVaR
59
IR cumulative
11, 12, 18, 21
EUR
VaR and sVaR
60
FX cumulative
27, 28, 30, 31, 32
EUR
VaR and sVaR
61
Commodity cumulative
33, 34
USD
VaR and sVaR
62
Credit spread cumulative
38, 41, 43
EUR
VaR; sVaR; IRC
63
CTP cumulative EUR
54, 56
EUR
VaR; sVaR; APR

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Source: https://www.legislation.gov.uk/eur/2016/2070/annex/V/division/4 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-V/division-4
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.