Textual Amendments
F1 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).
Aggreg. portfolio | Description | Combination of individual portfolios (individual portfolios as stated by the numbers in section 2 | Base currency | Risk measures requested |
---|---|---|---|---|
57 | ALL-IN no-CTP | 1, 2, 6, 7, 9, 11, 12, 18, 21, 27, 28, 30, 31, 32, 33, 34, 38, 41, 43 | EUR | VaR; sVaR; IRC |
58 | EQUITY cumulative | 1, 2, 6, 7, 9 | EUR | VaR and sVaR |
59 | IR cumulative | 11, 12, 18, 21 | EUR | VaR and sVaR |
60 | FX cumulative | 27, 28, 30, 31, 32 | EUR | VaR and sVaR |
61 | Commodity cumulative | 33, 34 | USD | VaR and sVaR |
62 | Credit spread cumulative | 38, 41, 43 | EUR | VaR; sVaR; IRC |
63 | CTP cumulative EUR | 54, 56 | EUR | VaR; sVaR; APR] |