# 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: C107.01 – VaR & sVaR Non-CTP. Details

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

Row
Label
Legal reference
Instructions
010
Methodology
One of the following shall be reported in column 010:
(a) Historical Simulation;
(b) Montecarlo;
(c) Parametric;
(d) Combination/Other (please specify).
Column 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.
020
Computation of 10-day Horizon
Article 365(1) of Regulation (EU) No 575/2013
One of the following shall be reported in column 010:
(a) 1 day re-scaled to 10 days;
(b) 10 days with overlapping periods;
(c) 10 days other Methodology.
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
030
Length of observation period
Article 365(1)(d) of Regulation (EU) No 575/2013
One of the following shall be reported in column 010:
(a) 1 year;
(b) more than 1 and up to 2 years;
(c) more than 2 and up to 3 years;
(d) more than 3 years.
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
040
Data Weighting
Article 365(1)(d) of Regulation (EU) No 575/2013
One of the following shall be reported in column 010:
(a) Unweighted;
(b) Weighted;
(c) The higher of the metrics in points (a) and (b).
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
050
Backtesting add-on
Article 366(2) of Regulation (EU) No 575/2013
Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 in Art. 366 (2) CRR
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
060
VaR Regulatory add-on
Article 366(2) of Regulation (EU) No 575/2013 ( ‘ at least 3 ’ )
Regulatory 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.
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
070
Methodology
One of the following shall be reported in column 010:
(a) Historical Simulation;
(b) Montecarlo;
(c) Parametric;
(d) Combination/Other (please specify).
Column 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.
080
Computation of 10 day Horizon
Article 365(1) of Regulation (EU) No 575/2013
One of the following shall be reported in column 010:
(a) 1 day re-scaled to 10 days;
(b) 10 days with overlapping periods;
(c) 10 days other Methodology.
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
090
sVaR Regulatory add-on
Article 366(2) of Regulation (EU) No 575/2013
Regulatory 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.
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
100
Stressed VaR (i.e. sVaR) period
Article 365(2) of Regulation (EU) No 575/2013
One of the following shall be reported in column 010:
(a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from;
(b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from;
(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;
(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;
(e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;
(f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;
(g) Other choices for the stressed VaR calibration (please specify).
Column 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.

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Source: https://www.legislation.gov.uk/eur/2016/2070/annex/VI/division/1/division/2 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-VI/division-1/division-2
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.