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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)
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Column | Label | Legal reference | Instructions |
---|---|---|---|
010 | Date | (a) The date of the VaR/sVaR value shall be reported. It shall take all the following values:07/12/2015; (b) 08/12/2015; (c) 09/12/2015; (d) 10/12/2015; (e) 11/12/2015; (f) 14/12/2015; (g) 15/12/2015; (h) 16/12/2015; (i) 17/12/2015; (j) 18/12/2015. | |
020 | VaR | Article 365 of Regulation (EU) No 575/2013 | The 10-day VaR obtained for each individual portfolio, without applying the ‘3+’ regulatory multiplier, shall be reported. Figures shall be reported for each of the dates provided in column 010. Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency bof the portfolio. |
030 | sVaR | Article 365 of Regulation (EU) No 575/2013 | The 10-day sVaR obtained for each individual portfolio, without applying the ‘3+’ regulatory multiplier, shall be reported. Figures 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). Figures shall be reported using a minimum precision equivalent to thousands of units and be reported in the base currency of the portfolio. |
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