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Commission Implementing Regulation (EU) 2016/2070Show full title

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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  1. Introductory Text

  2. Article 1.Reporting by the institutions for the purposes of Article 78(2) of Directive 2013/36/EU on an individual and consolidated basis

  3. Article 2.Reporting of information for credit risk

  4. Article 3.Reporting of information for market risk

  5. Article 4.Reference and remittance dates

  6. Article 5.Initial market valuation for market risk

  7. Article 6.IT solutions for the reporting

  8. Article 7.Transitional provisions for reference dates, remittance dates, and for reporting of credit risk templates

  9. Article 8.Entry into force

  10. Signature

    1. ANNEX I

      DEFINITION OF SUPERVISORY BENCHMARKING PORTFOLIOS

      1. Annex I Table 1

      2. C 101.00 — Definition of Low Default Portfolio counterparties

        1. ANNEX I Table 2: rows 1 - 250

        2. ANNEX I Table 2: rows 251 - 500

        3. ANNEX I Table 2: rows 501 - 750

        4. ANNEX I Table 2: rows 751 - 1000

        5. ANNEX I Table 2: rows 1001 - 1250

        6. ANNEX I Table 2: rows 1251 - 1500

        7. ANNEX I Table 2: rows 1501 - 1750

        8. ANNEX I Table 2: rows 1751 - 1923

      3. C 102.00 — Definition of Low Default Portfolios

      4. C 103.00 — Definition of High Default Portfolios

        1. ANNEX I Table 4: rows 1 - 250

        2. ANNEX I Table 4: rows 251 - 500

        3. ANNEX I Table 4: rows 501 - 750

        4. ANNEX I Table 4: rows 751 - 1000

        5. ANNEX I Table 4: rows 1001 - 1250

        6. ANNEX I Table 4: rows 1251 - 1500

        7. ANNEX I Table 4: rows 1501 - 1750

        8. ANNEX I Table 4: rows 1751 - 2000

        9. ANNEX I Table 4: rows 2001 - 2250

        10. ANNEX I Table 4: rows 2251 - 2500

        11. ANNEX I Table 4: rows 2501 - 2750

        12. ANNEX I Table 4: rows 2751 - 3000

        13. ANNEX I Table 4: rows 3001 - 3245

      5. C 104.00 — Definition of hypothetical transactions in Low Default Portfolios

        1. ANNEX I Table 5: rows 1 - 250

        2. ANNEX I Table 5: rows 251 - 500

        3. ANNEX I Table 5: rows 501 - 531

    2. ANNEX II

      SUPERVISORY BENCHMARKING PORTFOLIOS

      1. DEFINITION OF THE SUPERVISORY BENCHMARKING PORTFOLIOS

        1. C 101 — Definition of Low Default Portfolio counterparties

        2. C 102 — Definition of Low Default Portfolios

        3. C 103 — Definition of High Default Portfolios

        4. C 104 — Definition of hypothetical transactions in Low Default Portfolios

    3. ANNEX III

      RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS

      1. Annex III Table 1

      2. C 101.00 — Details on exposures in Low Default Portfolios by counterparty

      3. C 102.00 — Details on exposures in Low Default Portfolios

      4. C 103.00 — Details on exposures in High Default Portfolio

      5. C 104.00 — Details for hypothetical transactions in Low Default Portfolios

      6. C 105.01 — Definition of internal models

      7. C 105.02 — Mapping of internal models to portfolios

      8. C 105.03 — Mapping of internal models to countries

    4. ANNEX IV

      RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS

      1. PART I: GENERAL INSTRUCTIONS

        1. 1. Data shall be submitted only for those counterparties where an...

        2. 2. Data shall be submitted only for those exposures and hypothetical...

        3. 3. The following shall apply to Part II:

      2. PART II: TEMPLATE RELATED INSTRUCTIONS

        1. C 101 — Details on exposures in Low Default Portfolios by counterparty

        2. C 102 — Details on exposures in Low Default Portfolios...

          1. 4. An institution shall complete the columns below in accordance with...

          2. Annex IV Table 2

        3. C 103 — Details on exposures in High Default Portfolio

        4. C 104 — Details for hypothetical transactions in Low Default Portfolios

        5. C 105.01 — Definition of internal models

        6. C 105.02 — Mapping of internal models to portfolios

        7. C 105.03 — Mapping of internal models to countries

    5. ANNEX V

      MARKET BENCHMARKING PORTFOLIOS

      1. COMMON INSTRUCTIONS

      2. Section 1: Non-Correlation Trading Portfolios

        1. Annex V Table 1

      3. Section 2: Details for portfolios

        1. 2.1. Details for portfolio 1.7: 3-year USD quanto call on EUROSTOXX...

          1. Settlement terms:

        2. 2.2. Details for portfolio 1.11: USD 3M Libor range accrual

        3. 2.3. Details for portfolio 1.12: CPTFEMU index 10Y maturity par zero...

          1. Fixed rate details

          2. HICP XT Float rate details

          3. HICP XT Fixed rate calculation method

          4. HICP XT Floating rate calculation method

        4. 2.4. Details for portfolio 1.15: Knock-out currency option

        5. 2.5. Details for portfolio 1.16: Double no touch binary currency option...

        6. 2.6. Details for portfolio 1.27: Index put on ITraxx Europe Crossover...

        7. 2.7. Details for portfolio 1.28: Quanto Euro CDS on Spain with...

          1. Quanto CDS General Terms

          2. Floating payment

          3. Delta Hedge CDS General Terms

          4. Floating payment

        8. 2.8. Details for portfolio 1.14: Mark-to-market (resettable) cross-currency basis swap

          1. Initial exchange

          2. Final exchange

      4. Section 3: Correlation trading portfolios (CTPs)

        1. Annex V Table 9

    6. ANNEX VI

      RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS

      1. TEMPLATE RELATED INSTRUCTIONS

        1. C 106.00 — Initial Market Valuation and exclusion justification

        2. C107.01 — VaR & sVaR Non-CTP. Details

        3. C 107.02 — VaR and sVaR Non-CTP. Base Currency Results Instructions concerning sheets (z-axis)

          1. Annex VI Table 3

          2. Annex VI Table 4

        4. C 108.00 — One year Profit & Loss VaR

          1. Instructions concerning sheets (z-axis)

            1. Annex VI Table 5

            2. Annex VI Table 6

        5. C 109.01 — IRC. Details of the Model

        6. C 109.02 — IRC. Details by Portfolio Instructions concerning sheets (z-axis)

          1. Annex VI Table 8

          2. Annex VI Table 9

        7. C 109.03 — IRC. Amount by Portfolio/Date Instructions concerning sheets (z-axis)

          1. Annex VI Table 10

          2. Annex VI Table 11

        8. C 110.01 — CT. Details of the Model.

        9. C 110.02 — CT. Details by Portfolio. Instructions concerning sheets (z-axis)

          1. Annex VI Table 13

          2. Annex VI Table 14

        10. C 110.03 — CT. APR by Portfolio/Date Instructions concerning sheets (z-axis)

          1. Annex VI Table 15

          2. Annex VI Table 16

    7. ANNEX VII

      RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS. MARKET RISK

      1. Annex VII Table 1

      2. C 106.00 — INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

      3. C 107.01 — VaR AND sVaR NON-CTP. DETAILS

      4. C 107.02 — VaR AND sVaR NON-CTP. BASE CURRENCY RESULTS

      5. C 108.00 — ONE-YEAR PROFIT & LOSS VaR

      6. C 109.01 — IRC. DETAILS OF THE MODEL

      7. C 109.02 — IRC. DETAILS BY PORTFOLIO

      8. C 109.03 — IRC. AMOUNT BY PORTFOLIO/DATE

      9. C 110.01 — CT. DETAILS OF THE MODEL

      10. C 110.02 — CT. DETAILS BY PORTFOLIO

      11. C 110.03 — CT. APR BY PORTFOLIO/DATE

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