{
  "url": "https://openlegislation.uk/eu-regulation-2017-1486/annex-VI",
  "json_url": "https://openlegislation.uk/eu-regulation-2017-1486/annex-VI.json",
  "legislation": "eur/2017/1486",
  "legislation_title": "Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2017-1486",
  "path": "annex/VI",
  "kind": "annex",
  "number": "VI",
  "heading": null,
  "text": "‘ANNEX VI\nRESULTS: SUPERVISORY BENCHMARKING PORTFOLIOS\nTEMPLATE RELATED INSTRUCTIONS\nC 106.00 — Initial Market Valuation and exclusion justification\nColumn\nLabel\nLegal reference\nInstructions\n010\nPortfolio ID\nSections 1 and 3 of Annex V\nThe portfolio number taken from Annex V to this Implementing Regulation shall be reported.\n020\nPortfolio Modelled for Var + sVaR (YES/NO)\nEither YES or NO shall be reported.\n030\nPortfolio Modelled for IRC (YES/NO)\nEither YES or NO shall be reported.\n040\nPortfolio Modelled for Correlation Trading (YES/NO)\nEither YES or NO shall be reported.\n050\nRationale for Exclusion\nArticle 4\nOne of the following shall be reported:\n(a) Model not authorised by Regulator;\n(b) Instrument or underlying not authorised internally;\n(c) Underlying or modelling feature not contemplated internally.\n060\nFree text box\nAn institution may provide any additional information in this column.\n070\nInitial Market Valuation\nThe mark-to-market value of each individual portfolio on 27 October 2016 at 5:30 pm CET.\nThe mark-to-market value of each individual portfolio expressed in units of the base currency of the instrument shall be reported.\nC107.01 — VaR & sVaR Non-CTP. Details\nRow\nLabel\nLegal reference\nInstructions\n010\nMethodology\nOne of the following shall be reported:\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.\n020\nComputation of 10-day Horizon\nArticle 365(1) of Regulation (EU) No 575/2013\nOne of the following shall be reported:\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:\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:\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\nBack-testing add-on\nArticle 366(2) of Regulation (EU) No 575/2013\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\nBack-testing add-on means the addend with a value between 0 and 1 in accordance with Table 1 of Article 366(2) of Regulation (EU) No 575/2013.\n060\nRegulatory add-on\nArticle 366(2) of Regulation (EU) No 575/2013 (‘at least 3’)\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\nRegulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on.\n070\nMethodology\nOne of the following shall be reported:\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.\n080\nComputation of 10 day Horizon\nArticle 365(1) of Regulation (EU) No 575/2013\nOne of the following shall be reported:\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\nRegulatory add-on\nArticle 366(2) of Regulation (EU) No 575/2013\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\nRegulatory add-on means the extra charge with respect to the multiplier factor for VaR (equal to at least 3) in accordance with Article 366(2) of Regulation (EU) No 575/2013. The multiplier factor shall be equal to the sum of 3, the qualitative add-on imposed by the competent authority and the back-testing add-on.\nC 107.02 — VaR and sVaR Non-CTP. Base Currency Results\nInstructions concerning sheets (z-axis)\nLabel\nLegal reference\nInstructions\nPortfolio\nSection 1 of Annex V\nThe portfolio number taken from Section 1 of Annex V to this Implementing Regulation shall be reported.\nColumn\nLabel\nLegal reference\nInstructions\n010\nDate\nVaR and sVaR value shall be reported at the following dates:\n(a) 06/02/2017;\n(b) 07/02/2017;\n(c) 08/02/2017;\n(d) 09/02/2017;\n(e) 10/02/2017;\n(f) 13/02/2017;\n(g) 14/02/2017;\n(h) 15/02/2017;\n(i) 16/02/2017;\n(j) 17/02/2017\n020\nVaR\nArticle 365 of Regulation (EU) No 575/2013\nThe 10-day VaR obtained for each individual portfolio, without applying the “3+” regulatory multiplier, shall be reported.\nFigures shall be reported for each of the dates provided in column 010.\n030\nsVaR\nArticle 365 of Regulation (EU) No 575/2013\nThe 10-day sVaR obtained for each individual portfolio, without applying the “3+” regulatory multiplier, shall be reported.\nFigures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate a sVaR on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).\nC 108.00 — One year Profit & Loss VaR\nThis template shall be filled only by institutions that calculate VaR using historical simulation.\nInstructions concerning sheets (z-axis)\nLabel\nLegal reference\nInstructions\nPortfolio\nSection 1 of Annex V\nThe Portfolio number taken from Section 1 of Annex V to this Implementing Regulation shall be reported.\nColumn\nLabel\nLegal reference\nInstructions\n010\nDate\nArticle 365(1)(d) of Regulation (EU) No 575/2013\nEach business day, according to the calendar in the institution's jurisdiction, between 17 February 2017 and 15 February 2016 shall be reported.\n020\nDaily P&L\nInstitutions that calculate VaR using Historical Simulation shall fill the one-year data series with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 10 with the end-of-day valuation on the previous business day).\nIn case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only if there really was no change in the hypothetical value of the portfolio on a given business day).\nC 109.01 — IRC. Details of the Model\nRow\nLabel\nLegal reference\nInstructions\n010\nNumber of modelling factors\nEBA/GL/2012/3\nThe number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:\n(a) 1;\n(b) 2;\n(c) More than 2.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n020\nSource of LGDs\nEBA/GL/2012/3\nThe source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:\n(a) Market Convention;\n(b) LGD used in IRB;\n(c) Other.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\nC 109.02 — IRC. Details by Portfolio\nInstructions concerning sheets (z-axis)\nLabel\nLegal reference\nInstructions\nPortfolio\nSection 1 of Annex V\nThe portfolio number taken from Section 1 of Annex V to this Implementing Regulation for those portfolios only where IRC is requested, shall be reported.\nRow\nLabel\nLegal reference\nInstructions\n10\nLiquidity Horizon\nArticle 374(5) of Regulation (EU) No 575/2013 and EBA/GL/2012/3\nThe liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:\n(a) 3 months;\n(b) 3 to 6 months;\n(c) 6 to 9 months;\n(d) 9 to 12 months.\n20\nSource of PDs\nEBA/GL/2012/3\nThe source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:\n(a) Rating Agencies;\n(b) IRB;\n(c) Market implied;\n(d) Other.\n30\nSource of transition matrices\nEBA/GL/2012/3\nThe source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:\n(a) Rating Agencies;\n(b) IRB;\n(c) Market implied;\n(d) Other.\nC 109.03 — IRC. Amount by Portfolio/Date\nInstructions concerning sheets (z-axis)\nLabel\nLegal reference\nInstructions\nPortfolio\nSection 1 of Annex V\nThe portfolio number taken from Section 1 of Annex V to this Implementing Regulation for those portfolios only where IRC is requested, shall be reported.\nColumn\nLabel\nLegal reference\nInstructions\n010\nDate\nIRC shall be reported at the following dates:\n(a) 06/02/2017;\n(b) 07/02/2017;\n(c) 08/02/2017;\n(d) 09/02/2017;\n(e) 10/02/2017;\n(f) 13/02/2017;\n(g) 14/02/2017;\n(h) 15/02/2017;\n(i) 16/02/2017;\n(j) 17/02/2017\n020\nIRC\nArticles 372 to 376 of Regulation (EU) No 575/2013 and EBA/GL/2012/3\nThe regulatory IRC obtained for each individual portfolio shall be reported.\nFigures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not calculate an IRC on the date reported in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).\nC 110.01 — CT. Details of the Model.\nRow\nLabel\nLegal reference\nInstructions\n010\nNumber of modelling factors\nArticle 377 of Regulation (EU) No 575/2013\nThe number of modelling factors at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:\n(a) 1;\n(b) 2;\n(c) More than 2.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\n020\nSource of LGDs\nArticle 377 of Regulation (EU) No 575/2013\nThe source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:\n(a) Market Convention;\n(b) LGD used in IRB;\n(c) Other.\nColumn 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.\nC 110.02 — CT. Details by Portfolio.\nInstructions concerning sheets (z-axis)\nLabel\nLegal reference\nInstructions\nPortfolio\nSection 3 of Annex V\nThe portfolio number taken from Section 3 of Annex V to this Implementing Regulation shall be reported.\nRow\nLabel\nLegal reference\nInstructions\n010\nLiquidity Horizon\nArticle 377(2) of Regulation (EU) No 575/2013\nThe liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:\n(a) 3 months;\n(b) 3 to 6 months;\n(c) 6 to 9 months;\n(d) 9 to 12 months.\n020\nSource of PDs\nArticle 377 of Regulation (EU) No 575/2013\nThe source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:\n(a) Rating Agencies;\n(b) IRB;\n(c) Market implied;\n(d) Other.\n030\nSource of transition matrices\nArticle 377 of Regulation (EU) No 575/2013\nThe source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:\n(a) Rating Agencies;\n(b) IRB;\n(c) Market implied;\n(d) Other.\nC 110.03 — CT. APR by Portfolio/Date\nInstructions concerning sheets (z-axis)\nLabel\nLegal reference\nInstructions\nPortfolio\nSection 3 of Annex V\nThe portfolio number taken from Section 3 of Annex V to this Implementing Regulation shall be reported.\nColumn\nLabel\nLegal reference\nInstructions\n010\nDate\nArticle 377 of Regulation (EU) No 575/2013\nAll price risk (“APR”) shall be reported at the following dates:\n(a) 06/02/2017;\n(b) 07/02/2017;\n(c) 08/02/2017;\n(d) 09/02/2017;\n(e) 10/02/2017;\n(f) 13/02/2017;\n(g) 14/02/2017;\n(h) 15/02/2017;\n(i) 16/02/2017;\n(j) 17/02/2017.\n60\nAPR\nArticle 377 of Regulation (EU) No 575/2013\nThe results obtained by applying the regulatory Correlation Trading Model to each individual portfolio shall be reported.\nFigures shall be reported for each of the dates provided in column 010. The cell shall be left blank if the institution does not use a Correlation Trading Model on the date provided in column 010 (i.e. zero values shall be reported only if the result of the calculation is actually zero).\n’",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2017/1486/annex/VI",
    "retrieved_at": "2026-11-01T14:44:41.414803+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."
}