LegalizeCommission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (Text with EEA relevance)
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 to 8 | PD scale CCR exposures shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to existence of guarantee or credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %. |
| 1 to x | Exposure class X This refers to the different exposure classes listed in Article 147 of Chapter 3 of Title II of Part Three CRR. |
| x and y | Sub-total (Exposure class X) / Total (all CCR relevant exposure classes) The (sub-) total of exposure values, risk weighted exposure amounts and number of obligors shall just be the sum of the respective columns. Concerning the different parameters Average PD, Average LGD, Average Maturity and RWEA density the below definitions apply with respect to the sample of exposure class X or all CCR relevant exposure classes. |
| Column letter | Explanation |
| a | Exposure value Exposure value (see definition provided in column g of template EU CCR1), broken down by exposure classes and the given PD scale as set out in Chapter 3 of Title II of Part Three CRR |
| b | Exposure weighted average PD (%) Average of individual obligor grade PDs weighted by their corresponding exposure value in column a of this template |
| c | Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR. |
| d | Exposure weighted average LGD (%) Average of obligor grade LGDs weighted by their corresponding exposure value The disclosed LGD shall correspond to the final LGD estimate used in the calculation of own funds requirements obtained after considering any CRM effects and downturn conditions where relevant. In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR. For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default. |
| e | Exposure weighted average maturity (years) Average of obligor maturities in years weighted by their corresponding exposure value in column a of this template. The disclosed value of maturity shall be determined in accordance with Article 162 CRR. |
| f | RWEA Risk weighted exposure amounts calculated in accordance with the requirements laid down in Chapter 3 of Title II of Part Three CRR; for exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; the SME and infrastructure supporting factor determined in accordance with Article 501 CRR and Article 501a CRR shall be taken into account; for equity exposures under the PD/LGD approach, the risk weighted exposure amount calculated in accordance with Article 155(3) CRR |
| g | Density of risk weighted exposure amounts Ratio of the total risk weighted exposure amounts (in column f of this template) to the exposure value (in column a of this template) |
Template EU CCR5 - Composition of collateral for CCR exposures: Fixed columns
- 13.Institutions shall disclose the information referred to in point (e) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR5 as presented in Annex XXV to this Implementing Regulation.
- 14.This template shall be filled with fair values of collateral (posed or received) used in CCR exposures related to derivative transactions or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.
- 15.Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide information in this template where it deems that the disclosure of this information could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1-8 | Collateral type Breakdown by type of collateral |
| 9 | Total |
| Column letter | Explanation |
| a, c, e and g | Segregated Collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR |
| b, d, f and h | Unsegregated Collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR |
| a to d | Collateral used in derivative transactions Collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as per Article 271(2) CRR not qualifying as an SFTs |
| e to h | Collateral used in SFTs Collateral (including the initial margin and variation margin collateral as well as the collateral appearing in the security leg of the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative |
Template EU CCR6 - Credit derivatives exposures: Fixed format
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1-6 | Notionals Sum of absolute notional derivative amounts before any netting broken down by product type |
| 7-8 | Fair values Fair values broken down by assets (positive fair values) and liabilities (negative fair values) |
| Column letter | Explanation |
| a-b | Credit derivative protection Credit derivative protection bought or sold in accordance with Chapter 6 of Title II of Part Three CRR |
- 16.Institutions shall disclose the information referred to in point (j) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR6 which is presented in Annex XXV to this Implementing Regulation.
Template EU CCR7 - RWEA flow statements of CCR exposures under the IMM: Fixed format
- 17.Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CCR7 which is presented in Annex XXV to this Implementing Regulation.
- 18.Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall disclose a flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.
- 19.This template excludes risk weighted exposure amounts for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR).
- 20.Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the risk-weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.
- 21.Institutions shall explain in the accompanying narrative to the template the figures disclosed in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 | RWEA as at the end of the previous disclosure period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous disclosure period |
| 2 | Asset size RWEA changes (positive or negative) due to organic changes in book size and composition (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities |
| 3 | Credit quality of counterparties RWEA changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses This row shall include potential RWEA changes due to IRB models when the institution uses an IRB approach. |
| 4 | Model updates (IMM only) RWEA changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses This row shall reflect only changes in the IMM. |
| 5 | Methodology and policy (IMM only) RWEA changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM) |
| 6 | Acquisitions and disposals RWEA changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities |
| 7 | Foreign exchange movements RWEA changes (positive or negative) due to changes arising from foreign currency translation movements |
| 8 | Other This category shall be used to capture RWEA changes (positive or negative) that cannot be attributed to the above categories. Institutions shall include the sum of these RWEA changes in this row. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period in the accompanying narrative for this template. |
| 9 | RWEA as at the end of the current disclosure period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current disclosure period |
| Column letter | Explanation |
| a | RWEA |
Template EU CCR8 - Exposures to CCPs: Fixed format
- 22.Institutions shall disclose the information referred to in point (i) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR8 which is presented in Annex XXV to this Implementing Regulation.
- 23.Exposures to CCPs: Contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP, including exposures to CCP-related transactions in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1-10 | Qualifying CCP (QCCP) A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR |
| 7 and 8 17 and 18 | Initial margin Institutions shall disclose the fair values of collateral received or posted as initial margin defined in point (140) of Article 4(1) CRR. For the purposes of this template, initial margin does not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it will be treated as a default fund exposure). |
| 9 and 19 | Prefunded default fund contributions The contribution to the default fund of a CCP that is paid in by the institutions ‘Default fund’ is defined in point (89) of Article 4(1) CRR. |
| 20 | Unfunded default fund contributions Contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. ‘Default fund’ is defined in point (89) of Article 4(1) CRR. |
| 7 and 17 | Segregated See definition in included in template EU CCR5. |
| 8 and 18 | Unsegregated See definition in included in template EU CCR5. |
| Column letter | Explanation |
| a | Exposure value Exposure value calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR, after the application of the relevant adjustments provided for by Articles 304, 306 and 308 of that section An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR. The disclosed exposure value is the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 CRR during the transitional period provided for by that Article. |
| b | RWEA Risk weighted exposure amounts referred to in point (a) of Article 92(3) CRR calculated in accordance with Article 107 of Section 9 of Chapter 6 of Title II of Part Three CRR. |
ANNEX XXVII
Table EU-SECA - Qualitative disclosure requirements related to securitisation exposures
Free format text boxes for disclosure of qualitative information
| Legal basis | Row number | Qualitative information - Free format |
|---|---|---|
| Article 449(a) CRR | (a) | Description of securitisation and re-securitisation activities; including institutions' risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy |
| Article 449(b) CRR | (b) | The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and: i) risk retained in own-originated transactions; ii) risk incurred in relation to transactions originated by third parties |
| Article 449(c ) CRR | (c) | Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions |
| Article 449(d) CRR | (d) | A list of SSPEs falling into any of the following categories, with a description of types of institution's exposures to those SSPEs, including derivatives contracts: (i) SSPEs which acquire exposures originated by the institutions; (ii) SSPEs sponsored by the institutions; (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services; (iv) SSPEs included in the institutions' regulatory scope of consolidation |
| Article 449(e ) CRR | (e) | A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three CRR |
| Article 449(f) CRR | (f) | A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions |
| Article 449(g) CRR | (g) | A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions |
| Article 449(h) CRR | (h) | The names of the ECAIs used for securitisations and the types of exposure for which each agency is used |
| Article 449(i) CRR | (i) | Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels |
Template EU-SEC1 - Securitisation exposures in the non-trading book
| a | b | c | d | e | f | g | h | i | j | k | l | m | n | o | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as sponsor | Institution acts as sponsor | Institution acts as sponsor | Institution acts as sponsor | Institution acts as investor | Institution acts as investor | Institution acts as investor | Institution acts as investor | ||
| Traditional | Traditional | Traditional | Traditional | Synthetic | Synthetic | Sub-total | Traditional | Traditional | Synthetic | Sub-total | Traditional | Traditional | Synthetic | Sub-total | ||
| STS | STS | Non-STS | Non-STS | of which SRT | STS | Non-STS | Synthetic | STS | Non-STS | Synthetic | ||||||
| of which SRT | of which SRT | of which SRT | STS | Non-STS | Synthetic | STS | Non-STS | Synthetic | ||||||||
| 1 | Total exposures | |||||||||||||||
| 2 | Retail (total) | |||||||||||||||
| 3 | residential mortgage | |||||||||||||||
| 4 | credit card | |||||||||||||||
| 5 | other retail exposures | |||||||||||||||
| 6 | re-securitisation | |||||||||||||||
| 7 | Wholesale (total) | |||||||||||||||
| 8 | loans to corporates | |||||||||||||||
| 9 | commercial mortgage | |||||||||||||||
| 10 | lease and receivables | |||||||||||||||
| 11 | other wholesale | |||||||||||||||
| 12 | re-securitisation |
Template EU-SEC2 - Securitisation exposures in the trading book
| a | b | c | d | e | f | g | h | i | j | k | l | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as originator | Institution acts as sponsor | Institution acts as sponsor | Institution acts as sponsor | Institution acts as sponsor | Institution acts as investor | Institution acts as investor | Institution acts as investor | Institution acts as investor | ||
| Traditional | Traditional | Synthetic | Sub-total | Traditional | Traditional | Synthetic | Sub-total | Traditional | Traditional | Synthetic | Sub-total | ||
| STS | Non-STS | Synthetic | STS | Non-STS | Synthetic | STS | Non-STS | Synthetic | |||||
| 1 | Total exposures | ||||||||||||
| 2 | Retail (total) | ||||||||||||
| 3 | residential mortgage | ||||||||||||
| 4 | credit card | ||||||||||||
| 5 | other retail exposures | ||||||||||||
| 6 | re-securitisation | ||||||||||||
| 7 | Wholesale (total) | ||||||||||||
| 8 | loans to corporates | ||||||||||||
| 9 | commercial mortgage | ||||||||||||
| 10 | lease and receivables | ||||||||||||
| 11 | other wholesale | ||||||||||||
| 12 | re-securitisation |
Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor
| a | b | c | d | e | f | g | h | i | j | k | l | m | n | o | EU-p | EU-q | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by regulatory approach) | Exposure values (by regulatory approach) | Exposure values (by regulatory approach) | Exposure values (by regulatory approach) | RWEA (by regulatory approach) | RWEA (by regulatory approach) | RWEA (by regulatory approach) | RWEA (by regulatory approach) | Capital charge after cap | Capital charge after cap | Capital charge after cap | Capital charge after cap | |||
| ≤ 20 % RW | > 20 % to 50 % RW | > 50 % to 100 % RW | > 100 % to < 1 250 % RW | 1 250 % RW/ deductions | SEC-IRBA | SEC-ERBA (including IAA) | SEC-SA | 1 250 % RW/ deductions | SEC-IRBA | SEC-ERBA (including IAA) | SEC-SA | 1 250 % RW/ deductions | SEC-IRBA | SEC-ERBA (including IAA) | SEC-SA | 1 250 % RW/ deductions | |||
| 1 | Total exposures | Total exposures | |||||||||||||||||
| 2 | Traditional transactions | Traditional transactions | |||||||||||||||||
| 3 | Securitisation | Securitisation | |||||||||||||||||
| 4 | Retail | Retail | |||||||||||||||||
| 5 | Of which STS | Of which STS | |||||||||||||||||
| 6 | Wholesale | Wholesale | |||||||||||||||||
| 7 | Of which STS | Of which STS | |||||||||||||||||
| 8 | Re-securitisation | Re-securitisation | |||||||||||||||||
| 9 | Synthetic transactions | Synthetic transactions | |||||||||||||||||
| 10 | Securitisation | Securitisation | |||||||||||||||||
| 11 | Retail underlying | Retail underlying | |||||||||||||||||
| 12 | Wholesale | Wholesale | |||||||||||||||||
| 13 | Re-securitisation | Re-securitisation |
Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor
| a | b | c | d | e | f | g | h | i | j | k | l | m | n | o | EU-p | EU-q | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by RW bands/deductions) | Exposure values (by regulatory approach) | Exposure values (by regulatory approach) | Exposure values (by regulatory approach) | Exposure values (by regulatory approach) | RWEA (by regulatory approach) | RWEA (by regulatory approach) | RWEA (by regulatory approach) | RWEA (by regulatory approach) | Capital charge after cap | Capital charge after cap | Capital charge after cap | Capital charge after cap | |||
| ≤ 20 % RW | > 20 % to 50 % RW | > 50 % to 100 % RW | > 100 % to < 1 250 % RW | 1 250 % RW/ deductions | SEC-IRBA | SEC-ERBA (including IAA) | SEC-SA | 1 250 % RW/ deductions | SEC-IRBA | SEC-ERBA (including IAA) | SEC-SA | 1 250 % RW/ deductions | SEC-IRBA | SEC-ERBA (including IAA) | SEC-SA | 1 250 % RW/ deductions | |||
| 1 | Total exposures | Total exposures | |||||||||||||||||
| 2 | Traditional securitisation | Traditional securitisation | |||||||||||||||||
| 3 | Securitisation | Securitisation | |||||||||||||||||
| 4 | Retail underlying | Retail underlying | |||||||||||||||||
| 5 | Of which STS | Of which STS | |||||||||||||||||
| 6 | Wholesale | Wholesale | |||||||||||||||||
| 7 | Of which STS | Of which STS | |||||||||||||||||
| 8 | Re-securitisation | Re-securitisation | |||||||||||||||||
| 9 | Synthetic securitisation | Synthetic securitisation | |||||||||||||||||
| 10 | Securitisation | Securitisation | |||||||||||||||||
| 11 | Retail underlying | Retail underlying | |||||||||||||||||
| 12 | Wholesale | Wholesale | |||||||||||||||||
| 13 | Re-securitisation | Re-securitisation |
Template EU-SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments
| a | b | c | ||
|---|---|---|---|---|
| Exposures securitised by the institution - Institution acts as originator or as sponsor | Exposures securitised by the institution - Institution acts as originator or as sponsor | Exposures securitised by the institution - Institution acts as originator or as sponsor | ||
| Total outstanding nominal amount | Total outstanding nominal amount | Total amount of specific credit risk adjustments made during the period | ||
| Of which exposures in default | Total amount of specific credit risk adjustments made during the period | |||
| 1 | Total exposures | |||
| 2 | Retail (total) | |||
| 3 | residential mortgage | |||
| 4 | credit card | |||
| 5 | other retail exposures | |||
| 6 | re-securitisation | |||
| 7 | Wholesale (total) | |||
| 8 | loans to corporates | |||
| 9 | commercial mortgage | |||
| 10 | lease and receivables | |||
| 11 | other wholesale | |||
| 12 | re-securitisation |
ANNEX XXVIII
Instructions for disclosure on exposures to securitisation positions
Table EU SECA - Qualitative disclosure requirements related to securitisation exposures. Free format text boxes for disclosure of qualitative information
- 1.Institutions shall disclose the information referred to in points (a) to (i) of Article 449 of Regulation (EU) 575/2013 ([^E0044]) (‘CRR’) by following the instructions provided below in this Annex to complete table EU SECA which is presented in Annex XXVII to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Row reference | Explanation |
| (a) | Description of securitisation and re-securitisation activities; includingrisk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy, in accordance with point (a) of Article 449 CRR |
| (b) | The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and: i) risk retained in own-originated transactions; ii) risk incurred in relation to transactions originated by third parties, in accordance with point (b) of Article 449 CRR |
| (c) | Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions, in accordance with point (c) of Article 449 CRR |
| (d) | A list of SSPEs falling into any of the following categories, with a description of types of institution’s exposures to those SSPEs, including derivatives contracts: (i) SSPEs which acquire exposures originated by the institutions; (ii) SSPEs sponsored by the institutions; (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services; (iv) SSPEs included in the institutions' scope of prudential consolidation, in accordance with point (d) of Article 449 CRR |
| (e) | A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with point (e) of Article 449 of Chapter 5 of Title II of Part Three CRR |
| (f) | A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions, in accordance with point (f) of Article 449 CRR |
| (g) | A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions, in accordance with point (g) of Article 449 CRR |
| (h) | The names of the ECAIs used for securitisations and the types of exposure for which each agency is used, in accordance with point (h) of Article 449 CRR |
| (i) | Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR, including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, in accordance with point (i) of Article 449 CRR |
EU-SEC1 - Securitisation exposures in the non-trading book. Fixed format.
- 2.Institutions shall disclose the information referred to in point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC1 which is presented in Annex XXVII to this Implementing Regulation. Institutions shall explain in the narrative accompanying the template if they have within their traditional securitisations, ABCP programmes, and, if they have, the volume of ABCP transactions.
| Legal references and instructions | Legal references and instructions |
| Column reference | Explanation |
| a - g | Institution acts as originator When the ‘institution acts as originator’, as defined in point (13) of Article 4 (1) CRR, the securitisation exposures are the retained positions, even where not eligible for the securitisation framework due to the absence of significant risk transfer. Securitisation exposures in transactions that have achieved significant risk transfer (SRT) shall be presented separately. Originator institutions shall disclose the carrying amount at the disclosure date of all current securitisation exposures they hold in the securitisation transactions that they originated. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) in those securitisation shall be disclosed. |
| h - k | Institution acts as sponsor When ‘the institution acts as sponsor’ (as defined in point (14) of Article 4(1) CRR) the securitisation exposures shall include exposures to commercial paper conduits to which the institution provides programme-wide enhancements, liquidity and other facilities. Where the institution acts both as originator and sponsor, it shall avoid double-counting. In this regard, the institution can merge the two columns of ‘institution acts as originator’ and ‘institution acts as sponsor’ and use ‘institution acts as originator/sponsor’ columns. |
| l - o | Institution acts as investor Securitisation exposures when ‘the institution acts as an investor’ are the investment positions purchased in third-party deals. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither the originator, nor the sponsor. In case the pool of securitised exposures is a mix of the types of securitisation position, the institution shall indicate the most important type. |
| a – d; h, i, l, m | Traditional transactions In accordance with point (13) of Article 242 CRR, in connection with point (9) of Article 2 of Regulation (EU) 2017/2402 [^E0045], ‘traditional securitisation’ means a securitisation involving the transfer of the economic interest in the exposures being securitised. This shall be accomplished by the transfer of ownership of the securitised exposures from the originator institution to an SSPE or through sub-participation by an SSPE. The securities issued do not represent payment obligations of the originator institution. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the disclosing of this template. |
| e, f, j, n | Synthetic transactions In accordance with point (14) of Article 242 CRR, in connection with point (10) of Article 2 of Regulation (EU) 2017/2402, ‘synthetic securitisation’ means a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator institution. If the institution has purchased protection it shall disclose the net exposure amounts to which it is exposed and which are not subject to the purchased protection under columns originator/sponsor (i.e. the amount that is not secured) of this template. If the institution has sold protection, the exposure amount of the credit protection shall be disclosed in the ‘investor’ column of this template. |
| a, b, h, l, | STS exposure Total amount of STS securitisation positions in accordance with the criteria set out in Articles 18 to 26 of the Regulation (EU) 2017/2402 |
| b, d, f | SRT exposure Total amount of securitisation positions in respect of which the originator institution has achieved significant risk transfer (SRT) in accordance with Article 244 (traditional securitisation) and Article 245 (synthetic securitisation) CRR |
REGULATION (EU) 2017/2402 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ 347, 28.12.2017, p. 35).
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 06, 12 | Re-securitisation Total amount of outstanding re-securitisation positions as defined in points (63) and (64) of Article 4(1) CRR All securitisation exposures related to re-securitisation shall be completed in rows ‘re-securitisation’, and not in the preceding rows (by type of underlying asset) which contain only securitisation exposures other than re-securitisation. |
Template EU SEC2 - Securitisation exposures in the trading book. Fixed format.
- 3.Institutions shall disclose the information referred to point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC2 which is presented in Annex XXVII to this Implementing Regulation.
- 4.Institutions shall refer to instructions to template EU SEC1 - Securitisation exposures in the non-trading book.
Template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor. Fixed format.
- 5.Institutions shall disclose the information referred to in point (k)(i) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC3 which is presented in Annex XXVII to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Column reference | Explanation |
| a to d | Exposure values (by risk weight bands /deductions) Values to be disclosed in columns (a) to (d) of this template in relation to regulatory risk weights shall be determined in accordance with Chapter 5 of Title II of Part Three CRR. |
| f to h | Exposure values (by regulatory approach) Columns (f) to (h) of this template corresponding to the regulatory approach used in accordance with the hierarchy of approaches of Article 254 CRR |
| j, k, l | RWEA (by regulatory approach) Risk weighted exposure amount (RWEA) by regulatory approach in accordance with Chapter 5 of Title II of Part Three CRR Part Three before application of cap |
| n to EU-p | Capital charge after cap These columns refer to capital charge after application of the cap in accordance with Articles 267 and 268 CRR. |
| e, i, m, EU-q | 1 250 % RW/deductions Columns refer to items: — Subject to a 1 250 % risk weight or deducted in accordance with Chapter 5 of Title II of Part Three CRR; — Subject to a 1 250 % risk weight or deducted in accordance with point (b) of Article 244(1)) and with point (b) of Article 245(1) CRR; — Subject to a 1 250 % risk weight in accordance with Article 254(7) CRR; — or deducted in accordance with Article 253 CRR |
| --- | --- |
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 | Total Exposures Total exposures shall refer to the total amount of securitisation and re-securitisation positions held by the institution acting as originator or sponsor. This row shall summarise information on traditional and synthetic securitisation disclosed by originators and sponsors in subsequent rows. |
| 2 | Traditional transactions See explanation for template EU SEC1. |
| 3, 10 | Securitisation Total amount of outstanding securitisation positions as defined in point (62) of Article 4(1) CRR that are not re-securitisation positions as defined in point (64) of Article 4(1) CRR |
| 5, 7 | STS See explanation for template EU SEC1. |
| 8, 13 | Re-securitisation See explanation for template EU SEC1. |
| 9 | Synthetic transactions See explanation for template EU SEC1. |
Template EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor. Fixed format.
- 6.Institutions shall disclose the information referred to in point (k)(ii) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC4 which is presented in Annex XXVII to this Implementing Regulation.
- 7.Institutions shall refer to instructions to template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor.
Template EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments. Fixed format.
- 8.Institutions shall disclose the information referred to in Article 449(l) CRR by type of securitisation exposure, by following the instructions provided below in this Annex to complete template EU SEC5 which is presented in Annex XXVII to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Column reference | Explanation |
| a | Total outstanding nominal amount Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure |
| b | Total outstanding nominal amount - Of which exposures in default Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor) which have been classified as ‘defaulted exposures’ in accordance with Article 178 CRR, broken down by type of securitisation exposure |
| c | Specific credit risk adjustments made during the period Amount of the specific credit risk adjustments made during the period, in accordance with Article 110 CRR, on the exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure |
ANNEX XXIX
Table EU MRA: Qualitative disclosure requirements related to market risk
| Flexible format disclosure | ||
|---|---|---|
| a | Points (a) and (d) of Article 435 (1) CRR A description of the institution's strategies and processes to manage market risk, including: — An explanation of management’s strategic objectives in undertaking trading activities, as well as the processes implemented to identify, measure, monitor and control the institution’s market risks — A description of their policies for hedging and mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges | |
| b | Point (b) of Article 435 (1) CRR A description of the structure and organisation of the market risk management function, including a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above, and that describes the relationships and the communication mechanisms between the different parties involved in market risk management. | |
| c | Point (c ) of Article 435 (1) CRR Scope and nature of risk reporting and measurement systems |
Template EU MR1 - Market risk under the standardised approach
| a | ||
|---|---|---|
| RWEAs | ||
| Outright products | ||
| 1 | Interest rate risk (general and specific) | |
| 2 | Equity risk (general and specific) | |
| 3 | Foreign exchange risk | |
| 4 | Commodity risk | |
| Options | ||
| 5 | Simplified approach | |
| 6 | Delta-plus approach | |
| 7 | Scenario approach | |
| 8 | Securitisation (specific risk) | |
| 9 | Total |
Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models
| Flexible format disclosure | ||
|---|---|---|
| EU (a) | Article 455(c) CRR Description of the procedures and systems implemented for the assurance of tradability of the positions included in the trading book in order to comply with the requirements of Article 104. Description of the methodology used to ensure that the policies and procedures implemented for the overall management of the trading book are appropriate. | |
| EU (b) | Article 455(c) CRR For exposures from the trading and the non-trading book that are measured at fair value in accordance with the applicable accounting framework and that have their exposure value adjusted in accordance with Part Two, Title I, Chapter 2, Article 34 and Part Three, Title I, Chapter 3, Article 105 of the CRR (as well as the Commission Delegated Regulation (EU) No 2016/101), institutions shall describe systems and controls to ensure that the valuation estimates are prudent and reliable. These disclosures shall be provided as part of the market risk disclosures for exposures from the trading book. | |
| Point (i) of Article 455(a) CRR (A) Institutions using VaR models and SVaR models must disclose the following information: | Point (i) of Article 455(a) CRR (A) Institutions using VaR models and SVaR models must disclose the following information: | |
| (a) | Point (i) of Article 455 (a) and Article 455 (b) CRR Description of activities and risks covered by VaR and SVaR models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission. | |
| (b) | Article 455(b) CRR Description of the scope of application of the VaR and SVaR models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, as well as the percentage of own funds requirements covered by the models or if the same models of VaR/SVaR are used for all entities with market risk exposure | |
| Point (i) of Article 455(a) CRR Characteristics of the models used, including: | ||
| (c) | General description of regulatory VaR and SVaR models | |
| (d) | Discussion of the main differences, if any, between the model used for management purposes and the model used for regulatory purposes (10 day 99%) for VaR and SVaR models. | |
| (e) | For VaR models: | |
| (i) | Data updating frequency; | |
| (ii) | Length of the data period that is used to calibrate the model. Describe the weighting scheme that is used (if any); | |
| (iii) | How the institutions determines the 10-day holding period (for example, does it scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR?); | |
| (iv) | Aggregation approach, which is the method for aggregating the specific and general risk (i.e. do the institutions calculate the specific charge as a stand-alone charge by using a different method than the one used to calculate the general risk or do the institutions use a single model that diversifies general and specific risk?); | |
| (v) | Valuation approach (full revaluation or use of approximations); | |
| (vi) | Whether, when simulating potential movements in risk factors, absolute or relative returns (or a mixed approach) are used (i.e. proportional change in prices or rates or absolute change in prices or rates). | |
| (f) | For SVaR models, specify: | |
| (i) | How the 10-day holding period is determined. For example, does the institution scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR? If the approach is the same as for the VaR models, the institutions may confirm this and refer to disclosure (e) (iii) above; | |
| (ii) | The stress period chosen by the institution and the rationale for this choice; | |
| (iii) | Valuation approach (full revaluation or use of approximations). | |
| (g) | Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the VaR and SVaR models apply at the group level). | |
| (h) | Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes. | |
| Point (ii) of Article 455(a) CRR (B) Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) must disclose the following information: | Point (ii) of Article 455(a) CRR (B) Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) must disclose the following information: | |
| (a) | Point (ii) of Article 455 (a) and Article 455 (b) CRR Description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission. | |
| (b) | Article 455(b) CRR Description of the scope of application of the IRC model for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure | |
| (c) | Point (ii) of Article 455(a) CRR General description of the methodology used for internal models for incremental default and migration risk, including: | |
| (i) | Information about the overall modelling approach (notably, the use of spread-based models or transition matrix-based models); | |
| (ii) | Information on the calibration of the transition matrix; | |
| (iii) | Information about correlation assumptions; | |
| (d) | Approach used to determine liquidity horizons; | |
| (e) | Methodology used to achieve a capital assessment that is consistent with the required soundness standard; | |
| (f) | Approach used in the validation of the models. | |
| (g) | Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level). | |
| (h) | Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes. | |
| Point (ii) of Article 455(a) CRR (C) Institutions using internal models to measure own funds requirements for correlation trading portfolio (comprehensive risk measure) must disclosure the following information: | Point (ii) of Article 455(a) CRR (C) Institutions using internal models to measure own funds requirements for correlation trading portfolio (comprehensive risk measure) must disclosure the following information: | |
| (a) | Point (ii) of Article 455 (a) and Article 455 (b) CRR Description of risks covered by the comprehensive risk measure models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission. | |
| (b) | Article 455(b) CRR Description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure | |
| (c) | Point (ii) of Article 455(a) CRR General description of the methodology used for correlation trading, including: | |
| (i) | Information about the overall modelling approach (choice of model correlation between default/migrations and spread: (i) separate but correlated stochastic processes driving migration/default and spread movement; (ii) spread changes driving migration/default; or (iii) default/migrations driving spread changes); | |
| (ii) | Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic); | |
| (iii) | Information on the choice of whether to age positions (profits and losses based on the simulated market movement in the model calculated based on the time to expiry of each position at the end of the 1-year capital horizon or using their time to expiry at the calculation date); | |
| (d) | Approach used to determine liquidity horizons. | |
| (e) | Methodology used to achieve a capital assessment that is consistent with the required soundness standard. | |
| (f) | Approach used in the validation of the models. | |
| (g) | Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the comprehensive risk measure models apply at the group level). | |
| (h) | Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the comprehensive risk measure internal models and modelling processes. | |
| (i) | Point (f) of Article 455 CRR Information on weighted average liquidity horizon for each subportfolio covered by the internal models for incremental default and migration risk and for correlation trading |
Template EU MR2-A - Market risk under the internal Model Approach (IMA)
| a | b | ||
|---|---|---|---|
| RWEAs | Own funds requirements | ||
| 1 | VaR (higher of values a and b) | ||
| (a) | Previous day’s VaR (VaRt-1) | ||
| (b) | Multiplication factor (mc) x average of previous 60 working days (VaRavg) | ||
| 2 | SVaR (higher of values a and b) | ||
| (a) | Latest available SVaR (SVaRt-1)) | ||
| (b) | Multiplication factor (ms) x average of previous 60 working days (sVaRavg) | ||
| 3 | IRC (higher of values a and b) | ||
| (a) | Most recent IRC measure | ||
| (b) | 12 weeks average IRC measure | ||
| 4 | Comprehensive risk measure (higher of values a, b and c) | ||
| (a) | Most recent risk measure of comprehensive risk measure | ||
| (b) | 12 weeks average of comprehensive risk measure | ||
| (c) | Comprehensive risk measure - Floor | ||
| 5 | Other | ||
| 6 | Total |
Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA
| a | b | c | d | e | f | g | ||
|---|---|---|---|---|---|---|---|---|
| VaR | SVaR | IRC | Comprehensive risk measure | Other | Total RWEAs | Total own funds requirements | ||
| 1 | RWEAs at previous period end | |||||||
| 1a | Regulatory adjustment | |||||||
| 1b | RWEAs at the previous quarter-end (end of the day) | |||||||
| 2 | Movement in risk levels | |||||||
| 3 | Model updates/changes | |||||||
| 4 | Methodology and policy | |||||||
| 5 | Acquisitions and disposals | |||||||
| 6 | Foreign exchange movements | |||||||
| 7 | Other | |||||||
| 8a | RWEAs at the end of the disclosure period (end of the day) | |||||||
| 8b | Regulatory adjustment | |||||||
| 8 | RWEAs at the end of the disclosure period |
Template EU MR3 - IMA values for trading portfolios
| a | ||
|---|---|---|
| VaR (10 day 99%) | VaR (10 day 99%) | VaR (10 day 99%) |
| 1 | Maximum value | |
| 2 | Average value | |
| 3 | Minimum value | |
| 4 | Period end | |
| SVaR (10 day 99%) | SVaR (10 day 99%) | SVaR (10 day 99%) |
| 5 | Maximum value | |
| 6 | Average value | |
| 7 | Minimum value | |
| 8 | Period end | |
| IRC (99.9%) | IRC (99.9%) | IRC (99.9%) |
| 9 | Maximum value | |
| 10 | Average value | |
| 11 | Minimum value | |
| 12 | Period end | |
| Comprehensive risk measure (99.9%) | Comprehensive risk measure (99.9%) | Comprehensive risk measure (99.9%) |
| 13 | Maximum value | |
| 14 | Average value | |
| 15 | Minimum value | |
| 16 | Period end |
Template EU MR4 - Comparison of VaR estimates with gains/losses
Image omitted; see official source
Institutions must present an analysis of ‘outliers’ (backtesting exceptions as per Article 366 CRR) in backtested results, specifying the dates and the corresponding excess (VaR-P&L), including at least the key drivers of the exceptions, with similar comparisons for actual P&L and hypothetical P&L (as per Article 366 CRR).
Information about actual gains/losses, and especially a clarification whether they include reserves and, if not, how reserves are integrated into the backtesting process.
ANNEX XXX
Market risk standardized and internal approach disclosure tables and templates: Instructions
- 1.This annex includes the instructions that institutions shall follow when disclosing the information referred to in Articles 435, 445 and 455 of Regulation (EU) 575/2013 ([^E0046]) (‘CRR’) to complete the market risk disclosure tables and templates which are presented in Annex XXIX to this Implementing Regulation.
Table EU MRA - Qualitative disclosure requirements related to market risk: Free format text boxes
- 2.Institutions shall disclose the information referred to in points (a) to (d) of Article 435(1) CRR with regards to market risk by following the instructions provided below in this Annex to complete table EU MRA which is presented in Annex XXIX to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| (a) | When disclosing information referred to in points (a) and (d) of Article 435 (1) CRR on the risk management objectives and policies to manage market risk, institutions shall include: — an explanation of their management’s strategic objectives in undertaking trading activities; — the processes implemented to identify, measure, monitor and control the institution’s market risks; — the policies for hedging and mitigating risk; — strategies and processes for monitoring the continuing effectiveness of hedges. |
| (b) | When disclosing information referred to in point (b) of Article 435 (1) CRR on the structure and organisation of the market risk management function, institutions shall include: — a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above, — a description of the relationships and the communication mechanisms between the different parties involved in market risk management. |
| (c) | When disclosing information referred to in point (c) of Article 435 (1) CRR on the scope and nature of market risk disclosure and measurement systems, institutions shall provide a description of the scope and nature of market risk disclosure and the measurement systems. |
Template EU MR1 - Market risk under the standardised approach: fixed format
- 3.Institutions shall disclose the information referred to in Article 445 CRR by following the instructions provided below in this Annex to complete template EU MR1 which is presented in Annex XXIX to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| Outright products | Outright products |
| 1 | Interest rate risk (general and specific) General and specific risk of positions in traded debt instruments in the trading book, in accordance with Chapter 2 of Title IV of Part Three CRR, excluding specific risk related to securitisation, and which are not optional |
| 2 | Equity risk (general and specific) General and specific risk of positions in equities in the trading book, in accordance with Chapter 2 of Title IV of Part Three CRR, excluding optional instruments |
| 3 | Foreign exchange risk Risk of positions in foreign exchange in accordance with Chapter 3 of Title IV of Part Three CRR, excluding optional instruments |
| 4 | Commodity risk Risk of positions in commodities in accordance with Chapter 4 of Title IV of Part Three CRR, excluding optional instruments |
| Options | Options |
| 5 | Simplified approach Options or warrants as defined in Article 329 (3) of Chapter 2 of Title IV of Part Three CRR for which institutions calculate the own funds requirements related to the non-delta risk using the simplified approach [^E0047] |
| 6 | Delta plus approach Options or warrants in the trading book as defined in Article 329 (3) of Chapter 2 of Title IV of Part Three CRR for which institutions calculate the own funds requirements related to the non-delta risk using the delta plus approach [^E0048]. |
| 7 | Scenario approach Options or warrants in the trading book as defined in Article 329 (3) of Chapter 2 of Title IV of Part Three CRR for which institutions calculate the own funds requirements related to the non-delta risk using the scenario approach [^E0049]. |
| 8 | Securitisation (specific risk) Specific risk of securitisation positions in the trading book in accordance with in Articles 337 and 338 of Chapter 2 of Title IV of Part Three CRR. |
| 9 | Total Sum of amounts in rows 1 to 8 of this template. |
| Column letter | Explanation |
| a | RWEAs Disclosure of risk weighted exposures referred to in point (d) of Article 438 CRR, computed as the value in column b multiplied by 12.5 in accordance with point (b) of Article 92 (4) CRR |
As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).
As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).
As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).
Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models: free text format
- 4.Institutions shall disclose the information referred to of points (a), (b), (c) and (f) of Article 455 CRR by following the instructions provided below in this Annex to complete table EU MRB which is presented in Annex XXIX to this Implementing Regulation.
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