Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions 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)

C 107.01 -   VaR & sVaR Non-CTP. Details.

C 107.02 -   VaR, sVaR and PV - Non-CTP. Base Currency Results.

Instructions concerning sheets (z-axis)

C 108.00 -   Profit & Loss Time Series

Template C 108.00 (‘Profit & Loss Time Series’) shall be completed only by institutions that calculate VaR using historical simulation.

Instructions concerning sheets (z-axis)

C 109.01 –   IRC. Details of the Model

C 109.02 –   IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

C 109.03 –   IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

C 110.01 –   CT. Details of the Model.

C 110.02 –   CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

C 110.03 –   CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

C 120.01 –   SBM. Risk sensitivities by Instrument/Portfolio

Institutions shall report, instrument by instrument, the sensitivities towards the risk factors that the instrument is exposed to. One row shall be reported per risk factor/sensitivity. The upward net curvature risk position of that risk factor (CVRk ⁺) or the downward net curvature risk position of that risk factor (CVRk ^-) as specified in Article 325g of Regulation (EU) No 575/2013 shall be reported in individual rows. All values shall refer to the “RM (and final SBM) final reference date” (as defined in Section 1, point (b)(v), of Annex V to this Regulation). Institutions shall report each combination of Portfolio, Instrument number (column 0010), Risk identifier (column 0020), Bucket (column 0030) and Additional identifier (column 0040) only once.

Instructions concerning sheets (z-axis)

C 120.02 –   SBM. OFR composition by portfolio

Instructions concerning sheets (z-axis)

C 120.03 –   SBM. OFR

Table: guidance for the reporting of templates C 106.01 (column 0010) and C 120.01 (column 0020)

• — The column "risk class" refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes:

• (a) “GIRR” (general interest rate risk);

• (b) “CSR_NON_SEC” (credit spread risk (CSR) for non-securitisation);

• (c) “CSR_SEC_NON_ACTP” (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR));

• (d) “CSR_SEC_ACTP” (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR));

• (e) “EQ” (equity risk);

• (f) “CM” (commodity risk);

• (g) “FX” (foreign exchange risk).

• — The column "component" refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method:

• (a) “DELTA” (delta risk);

• (b) “VEGA” (vega risk);

• (c) “CURVATURE” (curvature risk).

• — The column "maturity" refers to the maturity of the risk factor, where risk factors are defined along specified vertices following the Articles 325l, 325m, 325n, 325o, 325p, 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of Regulation (EU) No 575/2013 two maturities are given and separated by a hyphen (e.g. “0,5 years - 0,5 years”), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.

• — The column "additional specifications" further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of Regulation (EU) No 575/2013, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of Regulation (EU) No 575/2013 and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of Regulation (EU) No 575/2013.

’