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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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After exit day there will be three versions of this legislation to consult for different purposes. The legislation.gov.uk version is the version that applies in the UK. The EU Version currently on EUR-lex is the version that currently applies in the EU i.e you may need this if you operate a business in the EU.

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EUR 2016 No. 2070 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators’ Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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Revised legislation carried on this site may not be fully up to date. Changes and effects are recorded by our editorial team in lists which can be found in the ‘Changes to Legislation’ area. Where those effects have yet to be applied to the text of the legislation by the editorial team they are also listed alongside the affected provisions when you open the content using the Table of Contents below.

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Changes and effects yet to be applied to :

  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

      3. C 102.00 – Definition of Low Default Portfolios

        1. Annex I Table 3

      4. C 103.00 – Definition of High Default Portfolios

        1. Annex I Table 4

      5. C 103.00 – Definition of High Default Portfolios

        1. Annex I Table 5

      6. C 103.00 – Definition of High Default Portfolios

        1. Annex I Table 6

    2. ANNEX II

      SUPERVISORY BENCHMARKING PORTFOLIOS

      1. DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS

        1. C 101 – Definition of Low Default Portfolio counterparties

          1. Annex II Table 1

        2. C 102 – Definition of Low Default Portfolios

          1. Annex II Table 2

        3. C 103 – Definition of High Default Portfolios

          1. Annex II Table 3

    3. ANNEX III

      Results Supervisory Benchmark 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 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

    4. ANNEX IV

      RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

      1. PART I: GENERAL INSTRUCTIONS 1. Information shall be submitted only for counterparties subject to...

        1. 1. Information shall be submitted only for counterparties subject to an...

        2. 2. Information shall be submitted only for exposures and portfolios for...

        3. 3. Information that is not required or not applicable shall not...

        4. 4. For portfolios defined with a specific rating grade in Annex...

        5. 5. Portfolios that are not defined with a specific rating grade...

        6. 6. Monetary amounts shall be reported as used for calculating own...

      2. PART II: TEMPLATE-RELATED INSTRUCTIONS C 101 — Details on exposures in Low Default Portfolios...

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

          1. Annex IV Table 1

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

          1. Annex IV Table 2

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

          1. Annex IV Table 3

        4. C 105.01 – Definition of internal models

          1. Annex IV Table 4

        5. C 105.02 – Mapping of internal models to portfolios

          1. Annex IV Table 5

        6. C 105.03 – Mapping of internal models to countries

          1. Annex IV Table 6

    5. ANNEX V

      MARKET RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS

      1. 1. Common Instructions

      2. 2. Instruments

        1. EQUITY

          1. 1. Long EUROSTOXX 50 index (Ticker: SX5E) Future (1 point equals...

          2. 2. Long 10000 BAYER (Ticker: BAYN GR) shares. Base currency EUR;

          3. 3. Short future BAYER (Ticker: BAYN GR) (1 contract = 100 shares). Expiry...

          4. 4. Short future, PEUGEOT PSA (Ticker: UG FP) (1 contract = 100 shares)....

          5. 5. Short future, ALLIANZ (Ticker: ALV GR) (1 contract = 100 shares). Expiry...

          6. 6. Short future BARCLAYS (Ticker: BARC LN) (1 contract = 100 shares). Expiry...

          7. 7. Short future DEUTSCHE BANK (Ticker: DBK GR) (1 contract = 100 shares)....

          8. 8. Short future CRÉDIT AGRICOLE (Ticker: ACA FP) (1 contract = 100 shares)....

          9. 9. Long call option. Underlying BAYER (Ticker: BAYN GR), ATM (1...

          10. 10. Short call option. Underlying BAYER (Ticker: BAYN GR), ATM (1...

          11. 11. Long call option. Underlying PFIZER (Ticker PFE US) 10 % OTM,...

          12. 12. Long put option. Underlying PFIZER (Ticker PFE US) 10 % OTM,...

          13. 13. Long call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM...

          14. 14. Short call option. Underlying BAYER (Ticker: BAYN GR), 10 % OTM...

          15. 15. Long call option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1...

          16. 16. Long put option. Underlying AVIVA (Ticker: AV/LN), 10 % OTM (1...

          17. 17. Short future NIKKEI 225 (Ticker NKY) (1 point equals JPY...

          18. 18. Auto-callable equity product

        2. IR

          1. 19. Five-year IRS EURO — receive fixed rate and pay floating...

          2. 20. 2-year EUR swaption on five-year interest rate swap. Notional EUR 10...

          3. 21. Five-year IRS USD. Receive fixed rate and pay floating rate....

          4. 22. Two-year IRS GBP. Receive fixed rate and pay floating rate....

          5. 23. Long position on ‘cap and floor’ 10-year UBS AG (Ticker:...

            1. Annex V Table 1

          6. 24. Long EUR5 million (ISIN DE0001135085). Expiry 4 July 2028 . Base...

          7. 25. Short EUR2 million (ISIN DE0001102317). Expiry 15 May 2023 . Base...

          8. 26. Long EUR5 million (ISIN IT0005246134). Expiry 15 May 2028 . Base...

          9. 27. Long EUR1 million (ISIN IT0005172322). Expiry 15 March 2023 . Base...

          10. 28. Long EUR5 million (ISIN ES00000124C5). Expiry 31 October 2028 . Base...

          11. 29. Short EUR5 million (ISIN FR0011317783). Expiry 25 October 2027 . Base...

          12. 30. Short EUR10 million (ISIN DE0001102390). Expiry 15 February 2026 . Base...

          13. 31. Long GBP5 million (ISIN GB0002404191). Expiry 7 December 2028 . Base...

          14. 32. Long EUR 5 million (ISIN PTOTETOE0012). Expiry 21 July 2026 ....

          15. 33. Short USD10 million (ISIN US912828V236). Expiry 31 December 2023 . Base...

          16. 34. Long BRAZIL GOVT USD 5 million (ISIN US105756BU30). Expiry 5 January...

          17. 35. Long MEXICO GOVT USD 5 million (ISIN US91086QBC15). Expiry 2 October...

          18. 36. 10-year IRS EURO — receive floating rate and pay fixed...

          19. 37. Five-year IRS EURO — receive floating rate and pay fixed...

        3. FX

          1. 38. Short six-month EUR/USD forward contract (i.e. long USD short EUR)....

          2. 39. Long six-month EUR/GBP forward contract (i.e. long GBP short EUR)....

          3. 40. Long million USD 1 million at EUR/USD ECB reference spot...

          4. 41. Long call option. EUR10 million. Equivalent amount based on EUR/USD...

          5. 42. Long call option. EUR10 million. Equivalent amount based on EUR/USD...

          6. 43. Short call option. EUR10 million. Equivalent amount based on EUR/USD...

          7. 44. Short call option. EUR 10 million. Equivalent amount based on...

          8. 45. Long put option. EUR 10 million. Equivalent amount based on...

          9. 46. Short put option. EUR 10 million. Equivalent amount based on...

          10. 47. Five-year mark to market (MtM) cross-currency EUR/USD SWAP. Receive USD...

        4. COMMODITIES

          1. 48. Long 3 500 000 six-month ATM London gold forwards contracts...

          2. 49. Short 3 500 000  12-month ATM London gold forwards contracts...

          3. 50. Long 30 contracts of six-month WTI crude oil call option...

          4. 51. Short 30 contracts of six-month WTI Crude Oil Put option...

        5. CREDIT SPREAD

          1. 52. Long (i.e. buy protection) EUR 1 million CDS on Portugal....

          2. 53. Long (i.e. buy protection) 1 million USD CDS on Italy....

          3. 54. Short (i.e. sell protection) USD 1 million CDS on Spain....

          4. 55. Long (i.e. buy protection) 1 million CDS on Mexico. Effective date...

          5. 56. Long (i.e. buy protection) USD 1 million CDS on Brazil....

          6. 57. Long (i.e. buy protection) USD 1 million CDS on UK....

          7. 58. Short (i.e. sell protection) EUR 1 million CDS on AXA...

          8. 59. Long (i.e. buy protection) EUR 1 million CDS on AXA...

          9. 60. Short (i.e. sell protection) GBP 1 million CDS on Aviva...

          10. 61. Long (i.e. buy protection) GBP 1 million CDS on Aviva...

          11. 62. Short (i.e. Sell protection) EUR 1 million CDS on Vodafone...

          12. 63. Short (i.e. sell protection) EUR 1 million CDS on ENI...

          13. 64. Short (i.e. sell protection) USD 1 million CDS on Eli...

          14. 65. Short (i.e. sell protection) EUR 1 million CDS on Unilever...

          15. 66. Long (i.e. buy protection) EUR 1 million CDS on Total...

          16. 67. Long (i.e. buy protection) EUR 1 million CDS on Volkswagen...

          17. 68. Long position on Turkey Govt. notes USD 1 million. Maturity:...

          18. 69. Long (i.e. buy protection) USD 1 million CDS on Turkey....

          19. 70. Long position on AXA notes EUR 1 million Maturity 29 January...

          20. 71. Long position on Volkswagen Group notes EUR 1 million Maturity...

          21. 72. Short EUR 1 million Volkswagen Group notes. Maturity 30 March 2021 (ISIN...

          22. 73. Long position on Total SA notes EUR 1 million. Maturity:...

        6. CTP

          1. 74. Short position in spread hedged Super Senior tranche of iTraxx...

          2. 75. Long (i.e. buy protection) USD 1 million first to default...

      3. 3. Individual portfolios

        1. Annex V Table 2

      4. 4. Aggregated portfolios

        1. Annex V Table 3

    6. ANNEX VI

      RESULTS SUPERVISORY BENCHMAR PORTFOLIOS

      1. TEMPLATE RELATED INSTRUCTIONS

        1. C 106.00 – Initial Market Valuation and exclusion justification

          1. Annex VI Table 1

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

          1. Annex VI Table 2

        3. C 107.02 – VaR, sVaR and PV — Non-CTP. Base...

          1. Instructions concerning sheets (z-axis)

            1. Annex VI Table 3

            2. Annex VI Table 4

        4. C 108.00 – Profit & Loss Time Series

          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

          1. Annex VI Table 7

        6. C 109.02 – IRC. Details by Portfolio

          1. Instructions concerning sheets (z-axis)

            1. Annex VI Table 8

            2. Annex VI Table 9

        7. C 109.03 – IRC. Amount by Portfolio/Date

          1. Instructions concerning sheets (z-axis)

            1. Annex VI Table 10

            2. Annex VI Table 11

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

          1. Annex VI Table 12

        9. C 110.02 – CT. Details by Portfolio.

          1. Instructions concerning sheets (z-axis)

            1. Annex VI Table 13

            2. Annex VI Table 14

        10. C 110.03 – CT. APR by Portfolio/Date

          1. Instructions concerning sheets (z-axis)

            1. Annex VI Table 15

            2. Annex VI Table 16

    7. ANNEX VII

      Results Supervisory Benchmark portfolios. MARKET RISK

      1. Annex VII Table 1

      2. C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

      3. C 107.01 - VaR, sVaR and PV. DETAILS

      4. C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS

      5. C 108.00- PROFIT & LOSS TIME SERIES

      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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