LegalizeCommission 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 (Text with EEA relevance)
| Columns | Columns |
| 0010-0070 | EVENT TYPES Institutions shall report the losses in the respective columns 0010 to 0070 in accordance with the loss event types referred to in Article 324 of Regulation (EU) No 575/2013. Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only. |
| 0080 | TOTAL LOSS EVENT TYPES In column 0080, for each business line, institutions shall report the total ‘number of loss events (new loss events)’, the total of ‘gross loss amount (new loss events)’, the total ‘number of loss events subject to loss adjustments’, the total of ‘loss adjustments relating to previous reporting periods’, the ‘maximum single loss’, the ‘sum of the five largest losses’, the total of ‘total direct loss recovery’ and the total of ‘total recovery from insurance and other risk transfer mechanisms’. Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the ‘loss adjustments relating to previous reporting periods’ reported in columns 0010 to 0070. The ‘maximum single loss’ reported in column 0080 shall be the maximum single loss within a business line and identical to the maximum of the ‘maximum single losses’ reported in columns 0010 to 0070, provided that the institution has identified the loss event types for all losses. For the sum of the five largest losses, in column 0080 the sum of the five largest losses within one business line shall be reported. |
| 0090-0100 | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions shall report in columns 0090 and 0100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of Article 322(3), point (c), of Regulation (EU) No 575/2013. Where the institution applies only one threshold for in each business line, only column 0090 shall be filled in. Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 0100) shall be filled in as well. |
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| Rows | Rows |
| 0010-0880 | BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line referred to in Article 317(4), Table 2 of Regulation (EU) No 575/2013, including the additional business line ‘Corporate items’ as referred to in Article 322(3), point (b), of that Regulation, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the ‘gross loss amount’ shall be distributed amongst all the affected business lines. Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 0910-0980 only. |
| 0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810 | Number of loss events (new loss events) The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period. The number of loss events shall refer to ‘new events’, i.e. operational risk events: (i) ‘accounted for the first time’ within the reporting reference period; or (ii) ‘accounted for the first time’ within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period. ‘New loss events’ do not include loss events ‘accounted for the first time’ within a previous reporting reference period, which were already included in previous supervisory reports. |
| 0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820 | Gross loss amount (new loss events) The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period. The reported gross loss amount shall refer to ‘new loss events’ as referred to in the row above of this table. For loss events ‘accounted for the first time’ within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported shall not take into account obtained recoveries. |
| 0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830 | Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments shall be the number of operational risk loss events ‘accounted for the first time’ in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period. |
| 0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840 | Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative): (i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘accounted for the first time’ and reported in previous reporting reference periods; (ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events ‘accounted for the first time’ and reported in previous reporting reference periods. Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period. Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself. The amounts to be reported shall not take into account obtained recoveries. |
| 0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850 | Maximum single loss The maximum single loss is the larger of: (i) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and (ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period. The amounts to be reported shall not take into account obtained recoveries. |
| 0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860 | Sum of the five largest losses The sum of the five largest losses shall be the sum of the five largest amounts amongst: (i) the gross loss amounts for loss events reported for the first time within the reporting reference period; and (ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment. The amounts to be reported shall not take into account obtained recoveries. |
| 0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870 | Total direct loss recovery Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 of Regulation (EU) No 575/2013 as referred to in the row of this table below. The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods. |
| 0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880 | Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 of Regulation (EU) No 575/2013. The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods. |
| 0910-0980 | TOTAL BUSINESS LINES For each loss event type (column 0010 to 0080), the information on total business lines has to be reported. |
| 0910-0914 | Number of loss events In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported. Provided that the institution has assigned all its losses to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ as referred to in Article 322(3), point (b), of that Regulation or that it has identified the loss event types for all losses, the following shall apply for column 0080, as appropriate: — The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event. — The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 0080, because one loss event can have an impact in different business lines simultaneously. |
| 0920-0924 | Gross loss amount (new loss events) Provided that the institution has assigned all its losses either to a business line listed in of Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of that Regulation, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line. In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported. |
| 0930, 0935, 0936 | Number of loss events subject to loss adjustments In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign). |
| 0940, 0945, 0946 | Loss adjustments relating to previous reporting periods In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of that Regulation, the amount reported in row 0940 shall be the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines. The amount of loss adjustments shall be broken down into the amount related to loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss event was reported for a December reference date (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 0946 instead of the amount of the negative loss adjustment itself. |
| 0950 | Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of that Regulation, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of that Regulation respectively that it has identified the loss event types for all losses, the following shall apply for column 0080: — The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row. — Where there are loss events having an impact in different business lines, the amount reported in {r0950, c0080} may be higher than the amounts of ‘Maximum single loss’ per business line reported in other rows of column 0080. |
| 0960 | Sum of the five largest losses The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That sum has to be reported regardless of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013 and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of ‘sum of the five largest losses’ in row 0960 or the maximum value of ‘sum of the five largest losses’ in column 0080. |
| 0970 | Total direct loss recovery Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line. |
| 0980 | Total recovery from insurance and other risk transfer mechanisms Provided that the institution has assigned all its losses either to a business line listed in Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line ‘corporate items’ referred to in Article 322(3), point (b), of that Regulation , the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line. |
4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)
4.2.3.1. General Remarks
- 155.In template C 17.02, information on individual loss events shall be provided (one row per loss event).
- 156.The information reported in this template shall refer to ‘new loss events’, i.e. operational risk events:
- (a) ‘accounted for the first time’ within the reporting reference period; or
- (b) ‘accounted for the first time’ within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus / minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.
- 157.Only loss events entailing a gross loss amount of EUR100,000 or more shall be reported.
- Subject to that threshold:
- (a) the largest event for each event type, provided that the institution has identified the event types for losses; and
- (b) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.
- (c) Loss events shall be ranked based on the gross loss attributed to them.
- (d) A loss event shall only be considered once.
4.2.3.2. Instructions concerning specific positions
| Columns | Columns |
| 0010 | Event ID The event ID is a row identifier and shall be unique for each row in the template. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc. |
| 0020 | Date of Accounting Date of accounting means the date where a loss or reserve / provision against an operational risk loss was first recognised in the Profit and Loss statement. |
| 0030 | Date of occurrence Date of occurrence shall be the date when the operational risk loss event happened or first began. |
| 0040 | Date of discovery Date of discovery shall be the date on which the institution became aware of the operational risk loss event. |
| 0050 | Loss event type Loss event types as referred to in Article 324 of Regulation (EU) No 575/2013. |
| 0060 | Gross loss Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01 |
| 0070 | Gross loss net of direct recoveries Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event |
| 0080 - 0160 | Gross loss by business line The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Article 317(4), Table 2 of Regulation (EU) No 575/2013 and Article 322(3), point (b), of that Regulation. |
| 0170 | Legal Entity name Name of the legal entity as reported in column 0011 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. |
| 0181 | Code Code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. |
| 0185 | TYPE OF CODE The institutions shall identify the type of code reported in column 0181 as a ‘LEI code’ or ‘Non-LEI code’ also in line with column 0026 of C 06.02 The type of code shall always be reported. |
| 0190 | Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred. |
| 0200 | Description Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known. |
5. MARKET RISK TEMPLATES
- 158.These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.
- 159.The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of Regulation (EU) No 575/2013.
5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
5.1.1. General Remarks
- 160.This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 325 (2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under of Regulation (EU) No 575/2013 are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.
- 161.The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, pLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.
5.1.2. Instructions concerning specific positions
| Columns | Columns |
| 0010-0020 | ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the of Article 345(1), first subparagraph of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of Regulation (EU) No 575/2013. |
| 0030-0040 | NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, see Article 328(2) of Regulation (EU) No 575/2013. |
| 0050 | POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013, receive a capital charge. |
| 0060 | OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013. |
| 0070 | TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5. |
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| Rows | Rows |
| 0010-0350 | TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with Article 92(3), point (b)(i) of Regulation (EU) No 575/2013 and of of Part Three, Chapter 2, Title IV of Regulation (EU) No 575/2013 shall be reported depending on risk category, maturity and approach used. |
| 0011 | GENERAL RISK. |
| 0012 | Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 of Regulation (EU) No 575/2013, where applicable. |
| 0013 | Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. |
| 0020-0200 | MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in Article 339, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of Regulation (EU) No 575/2013. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments. |
| 0210-0240 | GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in Article 340, paragraphs 1 to 6 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of Regulation (EU) No 575/2013. The position shall be split by zones 1, 2 and 3. |
| 0250 | SPECIFIC RISK Sum of amounts reported in rows 0251, 0325 and 0330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with Article 92(3), point (b) and Article 335, Article 336, paragraphs 1, 2 and 3 and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of Regulation (EU) No 575/2013. |
| 0251-0321 | Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (Article 332(1), point (e), of Regulation (EU) No 575/2013 and the second subparagraph of Article 332(1) of Regulation (EU) No 575/2013 – ‘look-through’). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) of Regulation (EU) No 575/2013) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of Regulation (EU) No 575/2013 (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. Those positions have to be assigned to rows 0280-0300 in accordance with the residual term to final maturity. Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 of Regulation (EU) No 575/2013 shall be applied. |
| 0325 | Own funds requirement for securitisation instruments Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. |
| 0330 | Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. |
| 0350-0390 | ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) of Regulation (EU) No 575/2013. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. |
5.2. C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
5.2.1. General Remarks
- 162.This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.
- 163.The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 of Regulation (EU) No 575/2013 in connection with 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.
- 164.Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Where this is the case, those positions have to be reported in row 0460 of CA1.
5.2.2. Instructions concerning specific positions
| Columns | Columns |
| 0010-0020 | ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013. |
| 0030-0040 | (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013 |
| 0050-0060 | NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013. |
| 0061-0104 | BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013. The breakdown shall be done separately for long and short positions. |
| 0402-0406 | BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 of Regulation (EU) No 575/2013 |
| 0402 | SEC-IRBA Article 259 and 260 of Regulation (EU) No 575/2013 |
| 0403 | SEC-SA Article 261 and 262 of Regulation (EU) No 575/2013 |
| 0404 | SEC-ERBA Article 263 and 264 of Regulation (EU) No 575/2013 |
| 0405 | INTERNAL ASSESSMENT APPROACH Articles 254, 265 and 266(5) of Regulation (EU) No 575/2013. |
| 0900 | SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013 |
| 0406 | OTHER (RW = 1 250 %) Article 254(7) of Regulation (EU) No 575/2013 |
| 0530-0540 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a of Regulation (EU) No 575/2013 |
| 0570 | BEFORE CAP Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. |
| 0601 | AFTER CAP / TOTAL OWN FUND REQUIREMENTS Article 337 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation. |
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| Rows | Rows |
| 0010 | TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor. |
| 0040, 0070 and 0100 | SECURITISATION POSITIONS Article 4(1), point (62), of Regulation (EU) No 575/2013. |
| 0020, 0050, 0080 and 0110 | RE-SECURITISATIONS POSITIONS Article 4(1), point (64), of Regulation (EU) No 575/2013 |
| 0041, 0071 and 0101 | OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 or Article 270 of that Regulation and therefore qualify for differentiated capital treatment. |
| 0030-0050 | ORIGINATOR Article 4(1), point (13), of Regulation (EU) No 575/2013 |
| 0060-0080 | INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender. |
| 0090-0110 | SPONSOR Article 4(1), point (14), of Regulation (EU) No 575/2013. A sponsor that also securitises its own assets shall fill in the originator's rows with the information regarding its own securitised assets. |
5.3. C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
5.3.1. General Remarks
- 165.This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) of Regulation (EU) No 575/2013 ) and the corresponding own funds requirements under the Standardised Approach.
- 166.The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 338, paragraphs 2 and 3 of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template.
- 167.The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The ‘other CTP-positions’ are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) of Regulation (EU) No 575/2013), but they are explicitly ‘linked’ to one of those two positions (because of the hedging intent).
- 168.Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013). Where this is the case, those positions have to be reported in row 0460 of CA1.
5.3.2. Instructions concerning specific positions
| Columns | Columns |
| 0010-0020 | ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction paragraphs (2) and (3) of Article 338 of that Regulation (positions assigned to the Correlation Trading Portfolio) Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013. |
| 0030-0040 | (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 of Regulation (EU) No 575/2013 |
| 0050-0060 | NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013 Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013. |
| 0071-0097 | BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, of Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013 |
| 0402-0406 | BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 of Regulation (EU) No 575/2013 |
| 0402 | SEC-IRBA Articles 259 and 260 of Regulation (EU) No 575/2013 |
| 0403 | SEC-SA Articles 261 and 262 of Regulation (EU) No 575/2013 |
| 0404 | SEC-ERBA Articles 263 and 264 of Regulation (EU) No 575/2013 |
| 0405 | INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013. |
| 0900 | SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013 |
| 0406 | OTHER (RW=1 250 %) Article 254(7) of Regulation (EU) No 575/2013 |
| 0410-0420 | BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation |
| 0430-0440 | AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS Article 338 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation |
| 0450 | TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 0430) or (ii) the specific risk charge that would apply just to the net short positions (column 0440). |
| --- | --- |
| Rows | Rows |
| 0010 | TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. |
| 0020-0040 | ORIGINATOR Article 4(1), point (13), of Regulation (EU) No 575/2013 |
| 0050-0070 | INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender |
| 0080-0100 | SPONSOR Article 4(1), point (14), of Regulation (EU) No 575/2013 A sponsor that also securitises its own assets shall fill in the originator's rows with the information regarding its own securitised assets. |
| 0030, 0060 and 0090 | SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in Article 338, paragraphs 2 and 3 of Regulation (EU) No 575/2013. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘Other CTP positions’. |
| 0110 | N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 of Regulation (EU) No 575/2013 shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. |
| 0040, 0070, 0100 and 0120 | OTHER CTP POSITIONS The following positions are included: — Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; — CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013; — Other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013. |
5.4. C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.4.1. General Remarks
- 169.This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach.
- 170.The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term ‘market’ shall be read as ‘country’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014 (22)).
5.4.2. Instructions concerning specific positions
| Columns | Columns |
| 0010-0020 | ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) of Regulation (EU) No 575/2013. |
| 0030-0040 | NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013. |
| 0050 | POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) of Regulation (EU) No 575/2013 shall not be included in this column. |
| 0060 | OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for any relevant position |
| 0070 | TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5. |
| --- | --- |
| Rows | Rows |
| 0010-0130 | EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in Article 92(3) of Regulation (EU) No 575/2013, point (b)(i) and Part Three, Title IV, Chapter 2, Section 3 of that Regulation. |
| 0020-0040 | GENERAL RISK Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their correspondent own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3of that Regulation Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk. Rows 0021 and 0022 request information on the breakdown by instruments. Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements. |
| 0021 | Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 of Regulation (EU) No 575/2013, where applicable |
| 0022 | Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. |
| 0030 | Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 3 Those positions shall be only subject to general risk and, accordingly, must not be reported in row 0050. |
| 0040 | Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 of Regulation (EU) No 575/2013, including positions in stock index futures treated in accordance with Article 344(3) of that Regulation |
| 0050 | SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) of that Regulation |
| 0090-0130 | ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) of Article 329, paragraphs 2 and 3 of Regulation (EU) No 575/2013 The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
3
(1)
Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council
5.5. C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
5.5.1. General Remarks
- 171.Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.
- 172.Rows 0100 to 0480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 of Regulation (EU) No 575/2013. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013. Rows 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.
5.5.2. Instructions concerning specific positions
| Columns | Columns |
| 0020-0030 | ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of Regulation (EU) No 575/2013 In accordance with Article 352(2) of Regulation (EU) No 575/2013 and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) of that Regulation and positions related to items that are already deducted in the calculation of own funds shall not be reported. |
| 0040-0050 | NET POSITIONS (LONG AND SHORT) Article 352(3), the Article 352(4), first two sentences and Article 353 of Regulation (EU) No 575/2013 The net positions are calculated by each currency in accordance with Article 352 (1) of Regulation (EU) No 575/2013. Consequently, both long and short positions may be reported at the same time. |
| 0060-0080 | POSITIONS SUBJECT TO CAPITAL CHARGE Article 352(4), third sentence and Articles 353 and 354 of Regulation (EU) No 575/2013 |
| 0060-0070 | POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency shall be added to obtain the long net position in that currency. Short net positions for each operation in a currency shall be added to obtain the short net position in that currency. Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement. |
| 0080 | POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies. |
| 0090 | OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 3 of Regulation (EU) No 575/2013 |
| 0100 | TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5. |
| --- | --- |
| Rows | Rows |
| 0010 | TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 of Regulation (EU) No 575/2013 as well as their correspondent own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), taking into account Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013 (for conversion into the reporting currency). |
| 0020 | CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 of Regulation (EU) No 575/2013. |
| 0025 | Currencies closely correlated: of which: reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 of Regulation (EU) No 575/2013. |
| 0030 | ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013. Reporting of CIU's treated as separate currencies in accordance with Article 353 of Regulation (EU) No 575/2013: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: 1. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position); 2. Where the direction of the CIU's investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU). The reporting of those CIU's shall follow the calculation of the capital requirements. |
| 0040 | GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013 |
| 0050 - 0090 | ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352, paragraphs 5 and 6 of Regulation (EU) No 575/2013 The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. |
| 0100-0120 | Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items. |
| 0100 | Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 0110 or 0120 shall be included here. |
| 0110 | Off-balance sheet items Items within the scope of Article 352 of Regulation (EU) No 575/2013, irrespective of the currency of denomination, which are included in Annex I to of that Regulation, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. |
| 0120 | Derivatives Positions valued in accordance with Article 352 of Regulation (EU) No 575/2013. |
| 0130-0480 | MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled in separately for all currencies of the member states of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies. |
5.6. C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
5.6.1. General Remarks
- 173.This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.
5.6.2. Instructions concerning specific positions
| Columns | Columns |
| 0010-0020 | All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) of Regulation (EU) No 575/2013 (see also Article 359(1) of Regulation (EU) No 575/2013) |
| 0030-0040 | NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) of Regulation (EU) No 575/2013 |
| 0050 | POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 receive a capital charge. |
| 0060 | OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 for any relevant position |
| 0070 | TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5 |
| --- | --- |
| Rows | Rows |
| 0010 | TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with Article 92(3), point (c)(iii) of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 |
| 0020-0060 | POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Article 361, Table 2 of Regulation (EU) No 575/2013. |
| 0070 | MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 of Regulation (EU) No 575/2013 |
| 0080 | EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 of Regulation (EU) No 575/2013 |
| 0090 | SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation (EU) No 575/2013 |
| 0100-0140 | ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) of Regulation (EU) No 575/2013 The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation. |
5.7. C 24.00 - MARKET RISK INTERNAL MODEL (MKR IM)
5.7.1. General Remarks
- 174.This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.
- 175.Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR /Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.
5.7.2. Instructions concerning specific positions
| Columns | Columns |
| 0030-0040 | Value at Risk (VaR) VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon. |
| 0030 | Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Article 364(1), point (a)(ii) and Article 365(1) of Regulation (EU) No 575/2013 |
| 0040 | Previous day VaR (VaRt-1) Article 364(1), point (a)(i) and Article 365(1) of Regulation (EU) No 575/2013 |
| 0050-0060 | Stressed VaR Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio. |
| 0050 | Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Article 364(1), point (b)(ii) and Article 365(1) of Regulation (EU) No 575/2013 |
| 0060 | Latest available (SVaRt-1) Article 364(1), point (b)(i)and Article 365(1) of Regulation (EU) No 575/2013 |
| 0070-0080 | INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with Article 364(2), point (b) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013. |
| 0070 | 12 weeks average measure Article 364(2), point (b)(ii) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013 |
| 0080 | Last Measure Article 364(2), point (b)(i) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013 |
| 0090-0110 | ALL PRICE RISKS CAPITAL CHARGE FOR CTP |
| 0090 | FLOOR Article 364(3), point (c), of Regulation (EU) No 575/2013 8 % of the capital charge that would be calculated in accordance with Article 338(1) of Regulation (EU) No 575/2013 for all positions in the ‘all price risks’ capital charge. |
| 0100-0110 | 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364(3), point (b), of Regulation (EU) No 575/2013 |
| 0110 | LAST MEASURE Article 364(3), point (a), of Regulation (EU) No 575/2013 |
| 0120 | OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) of Regulation (EU) No 575/2013 |
| 0130 | TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12.5 |
| 0140 | Number of overshootings (during previous 250 working days) Referred to in Article 366 of Regulation (EU) No 575/2013 The number of overshootings based on which the addend is determined shall be reported. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c of Regulation (EU) No 575/2013, the number of overshootings reported in this column shall be net of those excluded overshootings. |
| 0150-0160 | VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 of Regulation (EU) No 575/2013 The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013. |
| 0170-0180 | ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. |
| --- | --- |
| Rows | Rows |
| 0010 | TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the risk factors specified in Article 367(2) of that Regulation. Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components. |
| 0020 | TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013, linked to the interest rates risk factors specified in Article 367(2), point (a), of that Regulation. |
| 0030 | TDI – GENERAL RISK General risk component as referred to in Article 362 of Regulation (EU) No 575/2013 |
| 0040 | TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013 |
| 0050 | EQUITIES Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the equity risk factors as specified in Article 367(2), point (c), of that Regulation. |
| 0060 | EQUITIES – GENERAL RISK General risk component as referred to in Article 362 of Regulation (EU) No 575/2013 |
| 0070 | EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013 |
| 0080 | FOREIGN EXCHANGE RISK Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013 |
| 0090 | COMMODITY RISK Articles 363(1) and Article 367(2), point (d)of Regulation (EU) No 575/2013 |
| 0100 | TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable) |
| 0110 | TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable) |
5.8. C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)
5.8.1. Instructions concerning specific positions
| Columns | Columns |
| 0010 | Exposure value Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382 of that Regulation. Total EAD from all transactions subject to CVA charge. |
| 0020 | Of which: OTC derivatives Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(1) of that Regulation. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. |
| 0030 | Of which: SFT Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(2) of that Regulation The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. |
| 0040 | MULTIPLICATION FACTOR (mc) × AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of Regulation (EU) No 575/2013 in conjunction with Article 363(1), point (d), of that Regulation. VaR calculation based on internal models for market risk |
| 0050 | PREVIOUS DAY (VaRt-1) See instructions for column 0040. |
| 0060 | MULTIPLICATION FACTOR (ms) × AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 0040 |
| 0070 | LATEST AVAILABLE (SVaRt-1) See instructions for column 0040 |
| 0080 | OWN FUNDS REQUIREMENTS Article 92(3), point (d), of Regulation (EU) No 575/2013. Own funds requirements for CVA Risk calculated via the chosen method. |
| 0090 | TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Own funds requirements multiplied by 12.5. |
| Memorandum items | |
| 0100 | Number of counterparties Article 382 of Regulation (EU) No 575/2013 Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party. |
| 0110 | Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data. |
| 0120 | INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties. |
| 0130 | SINGLE NAME CDS Article 386(1), point (a), of Regulation (EU) No 575/2013 Total notional amounts of single name CDS used as hedge for CVA risk. |
| 0140 | INDEX CDS Article 386(1), point (b), of Regulation (EU) No 575/2013 Total notional amounts of index CDS used as hedge for CVA risk. |
| --- | --- |
| Rows | Rows |
| 0010 | CVA risk total Sum of rows 0020-0040 |
| 0020 | Advanced method Advanced CVA risk method as prescribed by Article 383 of Regulation (EU) No 575/2013 |
| 0030 | Standardised method Standardised CVA risk method as prescribed by Article 384 of Regulation (EU) No 575/2013 |
| 0040 | Based on OEM Amounts subject to the application of Article 385 of Regulation (EU) No 575/2013 |
6. PRUDENT VALUATION (PRUVAL)
6.1. C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
6.1.1. General remarks
- 176.This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (‘AVAs’). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 (23) for using the simplified approach for the determination of AVAs are met.
- 177.With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 of Regulation (EU) No 575/2013 as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 0290 of C 01.00.
6.1.2. Instructions concerning specific positions
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