{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-VII",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-VII.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/VII",
  "kind": "annex",
  "number": "VII",
  "heading": "Results Supervisory Benchmark portfolios. MARKET RISK",
  "text": "RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK\nTemplate number\nTemplate code\nName of the template/group of templates\nShort name\nINITIAL MARKET VALUATION\n106\nC 106.00\nINITIAL MARKET VALUATION\nIMV\nVaR, sVaR and PV\n107,1\nC 107.01\nDETAILS\nVaR&SVaR 1\n107,2\nC 107.02\nBASE CURRENCY RESULTS\nVaR&SVaR 2\nPROFIT & LOSS TIME SERIES\n108\nC 108.00\nPROFIT & LOSS TIME SERIES\nP&L\nINCREMENTAL RISK CHARGE\n109,1\nC 109.01\nIRC. DETAILS OF THE MODEL\nIRC 1\n109,2\nC 109.02\nIRC. DETAILS BY PORTFOLIO\nIRC 2\n109,3\nC 109.03\nIRC. AMOUNT BY PORTFOLIO/DATE\nIRC 3\nCORRELATION TRADING\n110,1\nC 110.01\nCT. DETAILS OF THE MODEL\nCT 1\n110,2\nC 110.02\nCT. DETAILS BY PORTFOLIO\nCT 2\n110,3\nC 110.03\nCT. AMOUNT BY PORTFOLIO/DATE\nCT 3\nC 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION\nInstrument number\nInstrument Modelled for Var + SVaR (YES/NO)\nInstrument Modelled for IRC (YES/NO)\nInstrument Modelled for Correlation Trading (YES/NO)\nRationale for Exclusion\nFree text box\nInitial Market Valuation\n010\n020\n030\n040\n050\n060\n070\nC 107.01 - VaR, sVaR and PV. DETAILS\nOption\nFree text box\n010\n020\nVaR\n010\nMethodology\n020\nLiquidity Horizon\n030\nLenght of observation period\n040\nData Weighting\n050\nBacktesting add-on\n060\nRegulatory add-on\nSVaR\n070\nMethodology\n080\nLiquidity Horizon\n090\nRegulatory add-on\n100\nStressed VaR window time\nC 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS\nPortfolio\nDate\nVaR\nsVaR\nPV\n010\n020\n030\n040\nC 108.00- PROFIT & LOSS TIME SERIES\nPortfolio\nDate\nDaily P&L\n010\n020\nC 109.01 - IRC. DETAILS OF THE MODEL\nOption\nFree text box\nRow\nItem\n010\n020\n010\nNumber of modelling factors\n020\nSource of LGDs\nC 109.02 - IRC. DETAILS BY PORTFOLIO\nPortfolio\nOption\nFree text box\nRow\nItem\n010\n020\n010\nLiquidity Horizon\n020\nSource of PDs\n030\nSource of transition matrices\nC 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE\nPortfolio\nDate\nIRC\n010\n020\nC 110.01 - CT. DETAILS OF THE MODEL\nOption\nFree text box\nRow\nItem\n010\n020\n010\nNumber of modelling factors\n020\nSource of LGDs\nC 110.02 - CT. DETAILS BY PORTFOLIO\nPortfolio\nOption\nFree text box\nRow\nItem\n010\n020\n010\nLiquidity Horizon\n020\nSource of PDs\n030\nSource of transition matrices\nC 110.03 - CT. APR BY PORTFOLIO/DATE\nPortfolio\nDate\nAPR\n010\n020",
  "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/VII",
    "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."
}