{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-VI/division-1/division-2",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-VI/division-1/division-2.json",
  "legislation": "eur/2016/2070",
  "legislation_title": "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)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-2070",
  "path": "annex/VI/division/1/division/2",
  "kind": "division",
  "number": null,
  "heading": "C107.01 – VaR & sVaR Non-CTP. Details",
  "text": "Row\nLabel\nLegal reference\nInstructions\n010\nMethodology\nOne of the following shall be reported in column 010:\n(a) Historical Simulation;\n(b) Montecarlo;\n(c) Parametric;\n(d) Combination/Other (please specify).\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column.\n020\nComputation of 10-day Horizon\nArticle 365(1) of Regulation (EU) No 575/2013\nOne of the following shall be reported in column 010:\n(a) 1 day re-scaled to 10 days;\n(b) 10 days with overlapping periods;\n(c) 10 days other Methodology.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n030\nLength of observation period\nArticle 365(1)(d) of Regulation (EU) No 575/2013\nOne of the following shall be reported in column 010:\n(a) 1 year;\n(b) more than 1 and up to 2 years;\n(c) more than 2 and up to 3 years;\n(d) more than 3 years.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n040\nData Weighting\nArticle 365(1)(d) of Regulation (EU) No 575/2013\nOne of the following shall be reported in column 010:\n(a) Unweighted;\n(b) Weighted;\n(c) The higher of the metrics in points (a) and (b).\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n050\nBacktesting add-on\nArticle 366(2) of Regulation (EU) No 575/2013\nBacktesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRR\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n060\nVaR Regulatory add-on\nArticle 366(2) of Regulation (EU) No 575/2013 ( ‘ at least 3 ’ )\nRegulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n070\nMethodology\nOne of the following shall be reported in column 010:\n(a) Historical Simulation;\n(b) Montecarlo;\n(c) Parametric;\n(d) Combination/Other (please specify).\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (d) was selected in column 010, the institution is expected to provide details in this column.\n080\nComputation of 10 day Horizon\nArticle 365(1) of Regulation (EU) No 575/2013\nOne of the following shall be reported in column 010:\n(a) 1 day re-scaled to 10 days;\n(b) 10 days with overlapping periods;\n(c) 10 days other Methodology.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n090\nsVaR Regulatory add-on\nArticle 366(2) of Regulation (EU) No 575/2013\nRegulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Art. 366 (2) CRR. The multiplication factor is given by the sum of 3 plus the backtesting add-on.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n100\nStressed VaR (i.e. sVaR) period\nArticle 365(2) of Regulation (EU) No 575/2013\nOne of the following shall be reported in column 010:\n(a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from;\n(b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from;\n(c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from;\n(d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 010 of C107.02 starting from;\n(e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;\n(f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;\n(g) Other choices for the stressed VaR calibration (please specify).\nColumn 020 shall be used by the institution to provide the starting date (e.g. dd/mm/yyyy) in case of options (a) or (b) given in column 010; the starting dates (e.g. dd/mm/yyyy) used for each stressed VaR run in case of options (c) or (d) given in column 010; and, to provide more clarification on the 12-month period used for each stressed VaR run in case of options (e), (f) and (g) given in column 010.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "Substituted by Commission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/2070/annex/VI/division/1/division/2",
    "retrieved_at": "2026-11-01T14:45:20.126201+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}