Commission Implementing Regulation (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms (Text with EEA relevance)

C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

ANNEX XI

PART I:   GENERAL INSTRUCTIONS

1. CONVENTIONS

1.The document follows the labelling convention set in points 2 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

2.The following general notation is followed in the instructions: {Template; Row; Column}.

3.In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.

4.In the case of templates with only one column, only rows are referred to. {Template; Row}.

5.An asterisk sign is used to express that the validation is done for the rows or columns specified before.

6.Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.

7.All references to Articles 325 to Article 377 of Regulation (EU) No 575/2013 shall be read as references to the version of that Regulation in force on 26 June 2019.

PART II:   TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES

1. GENERAL REMARKS

8.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.

9.The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components to calculate the capital required against that position risk. The first component shall cover its specific-risk – 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 is laid down in Articles 326 to 333 of Regulation (EU) No 575/2013.

2. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

10.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 Regulation (EU) No 575/2013 are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP shall only 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.

11.This template shall be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

3. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

12.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.

13.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 conjunction with Article 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 investment firms 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.

14.Positions which receive a risk weight of 1 250  % may 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). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct.

4. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

15.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.

16.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(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 investment firms 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 those positions are reported in the MKR SA TDI or the MKR IM template.

17.This 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).

18.Positions which receive a risk weight of 1 250  % may 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). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct.

5. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

19.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.

20.This template shall be filled out separately for the ‘Total’, plus a static, pre-defined list of the following markets: Bulgaria, 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 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 (²)).

6. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

21.Investment firms 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.

22.Rows 0100 to 0470 of this template shall be reported, where the investment firms have the permission to perform activities 3 or 6 of Annex I, Section A, to Directive 2014/65/EU of the European Parliament and of the Council (³), even where those investment firms 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 in rows 0100 to 0470, irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013. Rows 0130 to 0470 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.

7. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

23.This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.

8. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

24.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.

25.Generally, it depends on the structure of the model of the investment firms whether the figures for general and specific risk may 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 may refrain from reporting those decompositions if that institution proves that reporting those figures would be unduly burdensome.