LegalizeCommission 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)
| 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 securitisation capital charges for securitisation and nth-to-default credit derivative according to Article 364(2) of that Regulation |
| 0130 | TOTAL RISK EXPOSURE AMOUNT Article 92(6), 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 investment firms 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 set out in 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 | |
| --- | --- |
| 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 referred to 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 referred to 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 referred to 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) |
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