# 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), Annex VII: Results Supervisory Benchmark portfolios. MARKET RISK

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

RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK
Template number
Template code
Name of the template/group of templates
Short name
INITIAL MARKET VALUATION
106
C 106.00
INITIAL MARKET VALUATION
IMV
VaR, sVaR and PV
107,1
C 107.01
DETAILS
VaR&SVaR 1
107,2
C 107.02
BASE CURRENCY RESULTS
VaR&SVaR 2
PROFIT & LOSS TIME SERIES
108
C 108.00
PROFIT & LOSS TIME SERIES
P&L
INCREMENTAL RISK CHARGE
109,1
C 109.01
IRC. DETAILS OF THE MODEL
IRC 1
109,2
C 109.02
IRC. DETAILS BY PORTFOLIO
IRC 2
109,3
C 109.03
IRC. AMOUNT BY PORTFOLIO/DATE
IRC 3
CORRELATION TRADING
110,1
C 110.01
CT. DETAILS OF THE MODEL
CT 1
110,2
C 110.02
CT. DETAILS BY PORTFOLIO
CT 2
110,3
C 110.03
CT. AMOUNT BY PORTFOLIO/DATE
CT 3
C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION
Instrument number
Instrument Modelled for Var + SVaR (YES/NO)
Instrument Modelled for IRC (YES/NO)
Instrument Modelled for Correlation Trading (YES/NO)
Rationale for Exclusion
Free text box
Initial Market Valuation
010
020
030
040
050
060
070
C 107.01 - VaR, sVaR and PV. DETAILS
Option
Free text box
010
020
VaR
010
Methodology
020
Liquidity Horizon
030
Lenght of observation period
040
Data Weighting
050
Backtesting add-on
060
Regulatory add-on
SVaR
070
Methodology
080
Liquidity Horizon
090
Regulatory add-on
100
Stressed VaR window time
C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS
Portfolio
Date
VaR
sVaR
PV
010
020
030
040
C 108.00- PROFIT & LOSS TIME SERIES
Portfolio
Date
Daily P&L
010
020
C 109.01 - IRC. DETAILS OF THE MODEL
Option
Free text box
Row
Item
010
020
010
Number of modelling factors
020
Source of LGDs
C 109.02 - IRC. DETAILS BY PORTFOLIO
Portfolio
Option
Free text box
Row
Item
010
020
010
Liquidity Horizon
020
Source of PDs
030
Source of transition matrices
C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE
Portfolio
Date
IRC
010
020
C 110.01 - CT. DETAILS OF THE MODEL
Option
Free text box
Row
Item
010
020
010
Number of modelling factors
020
Source of LGDs
C 110.02 - CT. DETAILS BY PORTFOLIO
Portfolio
Option
Free text box
Row
Item
010
020
010
Liquidity Horizon
020
Source of PDs
030
Source of transition matrices
C 110.03 - CT. APR BY PORTFOLIO/DATE
Portfolio
Date
APR
010
020

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