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).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Date | Article 365(1)(d) of Regulation (EU) No 575/2013 | On each business day, according to the calendar in the institution's jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 010 with a minimum of 250 observations back from 1/2/2019 |
| 020 | Daily P&L | Institutions that calculate VaR using Historical Simulation shall fill the full length historic series used by the institution, with a minimum of 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 010 with the end-of-day valuation on the previous business day). In 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 if and only if there really was no change in the hypothetical value of the portfolio on a given business day).] |