# 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: C 110.01 – CT. Details of the Model.

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

Row
Label
Legal reference
Instructions
010
Number of modelling factors
Article 377 of Regulation (EU) No 575/2013
The number of modelling factors at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:
(a) 1;
(b) 2;
(c) More than 2.
Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.
020
Source of LGDs
Article 377 of Regulation (EU) No 575/2013
The source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:
(a) Market Convention;
(b) LGD used in IRB;
(c) 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 (c) was selected in column 010, the institution is expected to provide details in this column.

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Source: https://www.legislation.gov.uk/eur/2016/2070/annex/VI/division/1/division/8 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-VI/division-1/division-8
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.