LegalizeCommission Implementing Regulation (EU) 2024/348 of 19 January 2024 amending the implementing technical standards laid down in Commission 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
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | GDP Area Code | The list of areas identified in this Annex, template C.115.00, column 0045. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table. | |
| 0020 | Economic scenario ID | IFRS 9.5.5.17(a) IFRS 9.5.5.18 IFRS 9.B5.5.41 IFRS 9.B5.5.42 | The instructions provided in this Annex for column 0020 of C116.00 shall apply for scenarios 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macroeconomic scenario, with no individual macroeconomic scenario available, the scenarios 1 to 5 should not be populated. Instead, the average macroeconomic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 5. |
| 0100 | GDP growth – 0 - 12 months | The estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0110 | GDP growth – 12 – 24 months | The estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0120 | GDP growth – 24 – 36 months | The estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0130 | GDP growth – 36 – 48 months | The estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0140 | GDP growth – 48 – 60 months | The estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0150 | GDP growth – 60 – 72 months | The estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0160 | GDP growth – 72 – 84 months | The estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0170 | GDP growth – 84 – 96 months | The estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0180 | GDP growth – 96 – 108 months | The estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0190 | GDP growth – 108 – 120 months | The estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0199 | Weight of the Scenarios – 0 - 12 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0201 | Weight of the Scenarios – 12 – 24 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0202 | Weight of the Scenarios – 24 – 36 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0203 | Weight of the Scenarios – 36 – 48 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0204 | Weight of the Scenarios – 48 – 60 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0205 | Weight of the Scenarios – 60 – 72 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0206 | Weight of the Scenarios – 72 – 84 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0207 | Weight of the Scenarios – 84 – 96 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0208 | Weight of the Scenarios – 96 – 108 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0209 | Weight of the Scenarios – 108 – 120 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
’
8
Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).
9
Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).
ANNEX IX
‘ANNEX X
SBM Validation Portfolios
| Sheet name | Description |
|---|---|
| Instruments | Instruments (sensitivities and curvature risk positions) for SBM validation purposes |
| Portfolios | SBM validation portfolios defined as combinations of the instruments defined in this Annex |
| Instrument | Risk factor identifier |
| --- | --- |
| S_IRC_a1# | GIRR_CU |
| S_IRC_a1# | GIRR_CD |
| S_IRC_b1# | GIRR_CU |
| S_IRC_b1# | GIRR_CD |
| S_IRC_c1# | GIRR_CU |
| S_IRC_c1# | GIRR_CD |
| S_IRC_d1# | GIRR_CU |
| S_IRC_d1# | GIRR_CD |
| S_IRC_e1# | GIRR_CU |
| S_IRC_e1# | GIRR_CD |
| S_IRD_a1# | GIRR_D_00.25 |
| S_IRD_b1# | GIRR_D_00.25 |
| S_IRD_b10# | GIRR_D_30.00 |
| S_IRD_b11# | GIRR_D_INF |
| S_IRD_b12# | GIRR_D_CRO_EUR |
| S_IRD_b2# | GIRR_D_00.50 |
| S_IRD_b3# | GIRR_D_01.00 |
| S_IRD_b4# | GIRR_D_02.00 |
| S_IRD_b5# | GIRR_D_03.00 |
| S_IRD_b6# | GIRR_D_05.00 |
| S_IRD_b7# | GIRR_D_10.00 |
| S_IRD_b8# | GIRR_D_15.00 |
| S_IRD_b9# | GIRR_D_20.00 |
| S_IRD_c1# | GIRR_D_00.25 |
| S_IRD_c10# | GIRR_D_30.00 |
| S_IRD_c2# | GIRR_D_00.50 |
| S_IRD_c3# | GIRR_D_01.00 |
| S_IRD_c4# | GIRR_D_02.00 |
| S_IRD_c5# | GIRR_D_03.00 |
| S_IRD_c6# | GIRR_D_05.00 |
| S_IRD_c7# | GIRR_D_10.00 |
| S_IRD_c8# | GIRR_D_15.00 |
| S_IRD_c9# | GIRR_D_20.00 |
| S_IRD_d1# | GIRR_D_00.25 |
| S_IRD_d10# | GIRR_D_30.00 |
| S_IRD_d11# | GIRR_D_INF |
| S_IRD_d12# | GIRR_D_CRO_USD |
| S_IRD_d2# | GIRR_D_00.50 |
| S_IRD_d3# | GIRR_D_01.00 |
| S_IRD_d4# | GIRR_D_02.00 |
| S_IRD_d5# | GIRR_D_03.00 |
| S_IRD_d6# | GIRR_D_05.00 |
| S_IRD_d7# | GIRR_D_10.00 |
| S_IRD_d8# | GIRR_D_15.00 |
| S_IRD_d9# | GIRR_D_20.00 |
| S_IRD_e1# | GIRR_D_00.25 |
| S_IRD_e10# | GIRR_D_30.00 |
| S_IRD_e11# | GIRR_D_INF |
| S_IRD_e12# | GIRR_D_CRO_USD |
| S_IRD_e13# | GIRR_D_INF |
| S_IRD_e2# | GIRR_D_00.50 |
| S_IRD_e3# | GIRR_D_01.00 |
| S_IRD_e4# | GIRR_D_02.00 |
| S_IRD_e5# | GIRR_D_03.00 |
| S_IRD_e6# | GIRR_D_05.00 |
| S_IRD_e7# | GIRR_D_10.00 |
| S_IRD_e8# | GIRR_D_15.00 |
| S_IRD_e9# | GIRR_D_20.00 |
| S_IRD_f1# | GIRR_D_00.25 |
| S_IRV_a1# | GIRR_V_00.50_00.50 |
| S_IRV_b1# | GIRR_V_00.50_00.50 |
| S_IRV_b10# | GIRR_V_01.00_10.00 |
| S_IRV_b11# | GIRR_V_03.00_00.50 |
| S_IRV_b12# | GIRR_V_03.00_01.00 |
| S_IRV_b13# | GIRR_V_03.00_03.00 |
| S_IRV_b14# | GIRR_V_03.00_05.00 |
| S_IRV_b15# | GIRR_V_03.00_10.00 |
| S_IRV_b16# | GIRR_V_05.00_00.50 |
| S_IRV_b17# | GIRR_V_05.00_01.00 |
| S_IRV_b18# | GIRR_V_05.00_03.00 |
| S_IRV_b19# | GIRR_V_05.00_05.00 |
| S_IRV_b2# | GIRR_V_00.50_01.00 |
| S_IRV_b20# | GIRR_V_05.00_10.00 |
| S_IRV_b21# | GIRR_V_10.00_00.50 |
| S_IRV_b22# | GIRR_V_10.00_01.00 |
| S_IRV_b23# | GIRR_V_10.00_03.00 |
| S_IRV_b24# | GIRR_V_10.00_05.00 |
| S_IRV_b25# | GIRR_V_10.00_10.00 |
| S_IRV_b3# | GIRR_V_00.50_03.00 |
| S_IRV_b4# | GIRR_V_00.50_05.00 |
| S_IRV_b5# | GIRR_V_00.50_10.00 |
| S_IRV_b6# | GIRR_V_01.00_00.50 |
| S_IRV_b7# | GIRR_V_01.00_01.00 |
| S_IRV_b8# | GIRR_V_01.00_03.00 |
| S_IRV_b9# | GIRR_V_01.00_05.00 |
| S_IRV_c1# | GIRR_V_00.50_00.50 |
| S_IRV_c2# | GIRR_V_00.50_01.00 |
| S_IRV_c3# | GIRR_V_00.50_03.00 |
| S_IRV_c4# | GIRR_V_00.50_05.00 |
| S_IRV_c5# | GIRR_V_00.50_10.00 |
| S_IRV_d1# | GIRR_V_00.50_00.50 |
| S_IRV_d2# | GIRR_V_00.50_01.00 |
| S_IRV_d3# | GIRR_V_00.50_03.00 |
| S_IRV_d4# | GIRR_V_00.50_05.00 |
| S_IRV_d5# | GIRR_V_00.50_10.00 |
| S_IRV_e1# | GIRR_V_00.50_00.50 |
| S_IRV_e2# | GIRR_V_01.00_INF |
| S_IRV_e3# | GIRR_V_03.00_CRO_USD |
| Portfolio | Risk class |
| --- | --- |
| G000 | GIRR |
| G001 | GIRR |
| G002 | GIRR |
| G003 | GIRR |
| G004 | GIRR |
| G005 | GIRR |
| G006 | GIRR |
| G007 | GIRR |
| G008 | GIRR |
| G009 | GIRR |
| G010 | GIRR |
| G011 | GIRR |
| G012 | GIRR |
| G013 | GIRR |
| G014 | GIRR |
| G015 | GIRR |
| G016 | GIRR |
| G017 | GIRR |
| G018 | GIRR |
| G019 | GIRR |
| G020 | GIRR |
| G021 | GIRR |
| G022 | GIRR |
| G023 | GIRR |
| G024 | GIRR |
| G025 | GIRR |
| G026 | GIRR |
| G027 | GIRR |
| G028 | GIRR |
| G029 | GIRR |
| G030 | GIRR |
| G031 | GIRR |
| G032 | GIRR |
| G033 | GIRR |
| G034 | GIRR |
| G035 | GIRR |
| G036 | GIRR |
| G037 | GIRR |
| G038 | GIRR |
| G039 | GIRR |
| G040 | GIRR |
| G041 | GIRR |
| G042 | GIRR |
| G043 | GIRR |
| G044 | GIRR |
| G045 | GIRR |
| G046 | GIRR |
| G047 | GIRR |
| G048 | GIRR |
| G049 | GIRR |
| G050 | GIRR |
| G051 | GIRR |
| G052 | GIRR |
| G053 | GIRR |
| G054 | GIRR |
| G055 | GIRR |
| G056 | GIRR |
’
ELI: http://data.europa.eu/eli/reg_impl/2024/348/oj
ISSN 1977-0677 (electronic edition)
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