Commission Implementing Regulation (EU) 2025/2159 of 27 October 2025 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/2284 as regards supervisory reporting and disclosures of investment firms
Date: 2025-10-27
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: capital market, disclosure of information, financial control, financial legislation, financial supervision, investment company, private-sector liquidity, technical standard, venture capital




L_202502159EN.000101.fmx.xml












Official Journal of the European Union


EN
L series













2025/2159


31.10.2025







            COMMISSION IMPLEMENTING REGULATION (EU) 2025/2159
of 27 October 2025
         
amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/2284 as regards supervisory reporting and disclosures of investment firms
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements for investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (1), and in particular Article 54(3) thereof,

Whereas:







(1)


Commission Implementing Regulation (EU) 2021/2284 (2) introduced the regulatory reporting framework for the prudential regime of investment firms under Regulation (EU) 2019/2033. Article 5 of Implementing Regulation (EU) 2021/2284 on the format and frequency of reporting by investment firms other than small and non-interconnected investment firms, cross refers Commission Implementing Regulation (EU) 2021/451 (3).












(2)


Due to the changes introduced by Regulation (EU) 2024/1623 of the European Parliament and of the Council (4) into Regulation (EU) No 575/2013 of the European Parliament and of the Council (5), the reporting framework set out in Implementing Regulation (EU) 2021/451 has been revised. As a consequence, that Implementing Regulation has been repealed and replaced by Commission Implementing Regulation (EU) 2024/3117 (6).












(3)


To provide investment firms with sufficient time to adapt their own internal system and to comply with the revised reporting requirements, a derogation should be laid down deferring the remittance date of the first quarterly reporting obligation after the date of application of this Regulation.












(4)


Some elements of the revision introduced by Implementing Regulation (EU) 2024/3117 should be reflected in the reporting requirements applicable to investment firms, while other elements are not supposed to be amended. More specifically, the reporting on counterparty credit and credit valuation risks should be the same for investment firms that choose to apply the relevant provisions of Regulation (EU) No 575/2013 and credit institutions. By contrast, the reporting on own funds requirements for market risk, respectively K-factor ‘net position risk’ (K-NPR), should differ between credit institutions and investment firms, in light of the modifications introduced by Implementing Regulation (EU) 2024/3117 for credit institutions, such as the introduction of multiplication factors and other minor adjustments. Investment firms should apply and report on the own funds requirements for market risk as laid down in Part Three, Title IV, of Regulation (EU) No 575/2013 in the version in force on 26 June 2019 prior to the modifications introduced by Regulation (EU) 2019/876 of the European Parliament and of the Council (7).












(5)


To ensure coherence between the credit institutions reporting framework and the investment firms reporting framework where the regulatory framework applied is the same, and provide for specific rules where the regulatory framework applicable to investment firms and credit institutions is different, Article 5 of Implementing Regulation (EU) 2021/2284 should be amended.












(6)


To facilitate compliance with the reporting requirements, the minimum precision requirements laid down in Article 8 of Implementing Regulation (EU) 2021/2284 should be adjusted.












(7)


Implementing Regulation (EU) 2021/2284 should therefore be amended accordingly.












(8)


This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA).












(9)


Given that the amendments to Implementing Regulation (EU) 2021/2284 are based on Implementing Regulation (EU) 2024/3117 and do not involve significant changes in substantive terms, in accordance with Article 15(1), second subparagraph, of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (8) the EBA has not conducted open public consultations, nor analysed the potential related costs and benefits or requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of that Regulation, considering that it would be highly disproportionate in relation to the scope and impact of the draft implementing technical standards,





HAS ADOPTED THIS REGULATION:



Article 1
Implementing Regulation (EU) 2021/2284 is amended as follows:






(1)


in Article 2(1), the following second subparagraph is added:

                              ‘By way of derogation from the first subparagraph, investment firms other than small and non-interconnected investment firms shall submit the information set out in template C 25.01 of Annex I to Commission Implementing Regulation (EU) 2024/3117 (*1) for any reference dates between January and April 2026 by 30 June 2026 at the latest.

(*1)  Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj).’;"
                        










(2)


in Article 5, paragraphs 2, 3 and 4 are replaced by the following:

‘2.   Investment firms other than small and non-interconnected investment firms that determine the RtM K-factor requirement on the basis of K-NPR in accordance with Article 21(1) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in templates C 18.00 to C 24.00 of Annex X to this Regulation in accordance with the instructions set out in Annex XI to this Regulation.


3.   Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(4) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in template C 34.02 of Annex I to Implementing Regulation (EU) 2024/3117, with the exception of the information on the output floor, in accordance with the applicable instructions.


4.   Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(5), second subparagraph, of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in template C 25.01 of Annex I to Implementing Regulation (EU) 2024/3117 in accordance with the applicable instructions.’
;









(3)


in Article 8, paragraph 1, point (b), point (i) is replaced by the following:






‘(i)


data points with the data type “Monetary” shall be reported using a minimum precision equivalent to ten thousands of units’;














(4)


the text in Annex I to this Regulation is added as Annex X;










(5)


the text in Annex II to this Regulation is added as Annex XI.






Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.




This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 27 October 2025.


For the Commission


The President

Ursula VON DER LEYEN
            





(1)  
            OJ L 314, 5.12.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/2033/oj.

(2)  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 (OJ L 458, 22.12.2021, p. 48, ELI: http://data.europa.eu/eli/reg_impl/2021/2284/oj).

(3)  Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj).

(4)  Regulation (EU) 2024/1623 of the European Parliament and of the Council of 31 May 2024 amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (OJ L, 2024/1623, 19.6.2024, ELI: http://data.europa.eu/eli/reg/2024/1623/oj) .

(5)  Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).

(6)  Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj).

(7)  Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj).

(8)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).




ANNEX I



‘ANNEX X
REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR









INVESTMENT FIRMS TEMPLATES






Template number




Template code




Name of the template /group of templates




Short name





 


 



MARKET RISK




MKR





18


C 18.00


MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS


MKR SA TDI




19


C 19.00


MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS


MKR SA SEC




20


C 20.00


MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO


MKR SA CTP




21


C 21.00


MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES


MKR SA EQU




22


C 22.00


MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK


MKR SA FX




23


C 23.00


MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES


MKR SA COM




24


C 24.00


MARKET RISK INTERNAL MODELS


MKR IM










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






Currency:


















 



POSITIONS




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE






LONG




SHORT




LONG




SHORT





0010


0020


0030


0040


0050


0060


0070




0010



TRADED DEBT INSTRUMENTS IN TRADING BOOK



 


 


 


 


 


 


Cell linked to CA2




0011



General risk



 


 


 


 


 


 


 




0012


Derivatives


 


 


 


 


 


 


 




0013


Other assets and liabilities


 


 


 


 


 


 


 




0020


Maturity-based approach


 


 


 


 


 


 


 




0030


Zone 1


 


 


 


 


 


 


 




0040


 


0 ≤ 1 month


 


 


 


 


 


 


 




0050


 


> 1 ≤ 3 months


 


 


 


 


 


 


 




0060


 


> 3 ≤ 6 months


 


 


 


 


 


 


 




0070


 


> 6 ≤ 12 months


 


 


 


 


 


 


 




0080


Zone 2


 


 


 


 


 


 


 




0090


 


> 1 ≤ 2 (1,9 for cupon of less than 3%) years


 


 


 


 


 


 


 




0100


 


> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years


 


 


 


 


 


 


 




0110


 


> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years


 


 


 


 


 


 


 




0120


Zone 3


 


 


 


 


 


 


 




0130


 


> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years


 


 


 


 


 


 


 




0140


 


> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years


 


 


 


 


 


 


 




0150


 


> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years


 


 


 


 


 


 


 




0160


 


> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years


 


 


 


 


 


 


 




0170


 


> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years


 


 


 


 


 


 


 




0180


 


> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years


 


 


 


 


 


 


 




0190


 


(> 12,0 ≤ 20,0 for cupon of less than 3%) years


 


 


 


 


 


 


 




0200


 


(> 20 for cupon of less than 3%) years


 


 


 


 


 


 


 




0210


Duration-based approach


 


 


 


 


 


 


 




0220


Zone 1


 


 


 


 


 


 


 




0230


Zone 2


 


 


 


 


 


 


 




0240


Zone 3


 


 


 


 


 


 


 




0250



Specific risk



 


 


 


 


 


 


 




0251


Own funds requirement for non-securitisation debt instruments


 


 


 


 


 


 


 




0260


Debt securities under the first category in Table 1


 


 


 


 


 


 


 




0270


Debt securities under the second category in Table 1


 


 


 


 


 


 


 




0280


With residual term ≤ 6 months


 


 


 


 


 


 


 




0290


With a residual term > 6 months and ≤ 24 months


 


 


 


 


 


 


 




0300


With a residual term > 24 months


 


 


 


 


 


 


 




0310


Debt securities under the third category in Table 1


 


 


 


 


 


 


 




0320


Debt securities under the fourth category in Table 1


 


 


 


 


 


 


 




0321


Rated nth-to default credit derivatives


 


 


 


 


 


 


 




0325


Own funds requirement for securitisation instruments


 


 


 


 


 


 


 




0330


Own funds requirement for the correlation trading portfolio


 


 


 


 


 


 


 




0350


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




0360


Simplified method


 


 


 


 


 


 


 




0370


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




0380


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




0385


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




0390


Scenario matrix approach


 


 


 


 


 


 


 










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































































 



ALL POSITIONS




(-) POSITIONS DEDUCTED FROM OWN FUNDS




NET POSITIONS




BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS




BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS




BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES




OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402




BEFORE CAP




AFTER CAP / TOTAL OWN FUND REQUIREMENTS






LONG




SHORT




(-) LONG




(-) SHORT




LONG




SHORT




[0 - 10%[




[10 - 12%[




[12 - 20%[




[20 - 40%[




[40 - 100%[




[100 - 150%[




[150 - 200%[




[200 - 225%[




[225 - 250%[




[250 - 300%[




[300 - 350%[




[350 - 425%[




[425 - 500%[




[500 - 650%[




[650 - 750%[




[750 - 850%[




[850 - 1 250 %[




1 250 %




[0 - 10%[




[10 - 12%[




[12 - 20%[




[20 - 40%[




[40 - 100%[




[100 - 150%[




[150 - 200%[




[200 - 225%[




[225 - 250%[




[250 - 300%[




[300 - 350%[




[350 - 425%[




[425 - 500%[




[500 - 650%[




[650 - 750%[




[750 - 850%[




[850 - 1 250 %[




1 250 %




SEC-IRBA




SEC-SA




SEC-ERBA




INTERNAL ASSESSMENT APPROACH




SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS




OTHER (RW=1 250 %)




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS





0010


0020


0030


0040


0050


0060


0061


0062


0063


0064


0065


0066


0071


0072


0073


0074


0075


0076


0077


0078


0079


0081


0082


0083


0085


0086


0087


0088


0089


0091


0092


0093


0094


0095


0096


0097


0098


0099


0101


0102


0103


0104


0402


0403


0404


0405


0900


0406


0530


0540


0570


0601




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to MKR SA TDI {325:060}




0020


Of which: RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0041


OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0071


OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0101


OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


RE-SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 










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


















































 



ALL POSITIONS




(-) POSITIONS DEDUCTED FROM OWN FUNDS




NET POSITIONS




BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS




BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS




BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES




BEFORE CAP




AFTER CAP




TOTAL OWN FUNDS REQUIRE-MENTS






LONG




SHORT




(-) LONG




(-) SHORT




LONG




SHORT




[0 - 10%[




[10 - 12%[




[12 - 20%[




[20 - 40%[




[40 - 100%[




[100 - 250%[




[250 - 350%[




[350 - 425%[




[425 - 650%[




[650 - 1 250 %[




1 250 %




[0 - 10%[




[10 - 12%[




[12 - 20%[




[20 - 40%[




[40 - 100%[




[100 - 250%[




[250 - 350%[




[350 - 425%[




[425 - 650%[




[650 - 1 250 %[




1 250 %




SEC-IRBA




SEC-SA




SEC-ERBA




INTERNAL ASSESS-MENT APPROACH




SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS




OTHER (RW= 1 250 %)




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS




WEIGHTED NET LONG POSITIONS




WEIGHTED NET SHORT POSITIONS





0010


0020


0030


0040


0050


0060


0071


0072


0073


0074


0075


0076


0077


0078


0079


0081


0082


0086


0087


0088


0089


0091


0092


0093


0094


0095


0096


0097


0402


0403


0404


0405


0900


0406


0410


0420


0430


0440


0450




0010



TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


Cell linked to MKR SA TDI {0330:0060}




 



SECURITISATION POSITIONS:



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0020



ORIGINATOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



INVESTOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



SPONSOR: TOTAL EXPOSURES



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090


SECURITISATIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




 



N-TH-TO-DEFAULT CREDIT DERIVATIVES:



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110


N-TH-TO-DEFAULT CREDIT DERIVATIVES


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0120


OTHER CTP POSITIONS


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 










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






National market:

















 



POSITIONS




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE






LONG




SHORT






LONG




SHORT





0010


0020


0030


0040


0050


0060


0070




0010



EQUITIES IN TRADING BOOK



 


 


 


 


 


 


Cell linked to CA




0020


General risk


 


 


 


 


 


 


 




0021


Derivatives


 


 


 


 


 


 


 




0022


Other assets and liabilities


 


 


 


 


 


 


 




0030


Exchange traded stock-index futures broadly diversified subject to particular approach


 


 


 


 


 


 


 




0040


Other equities than exchange traded stock-index futures broadly diversified


 


 


 


 


 


 


 




0050


Specific risk


 


 


 


 


 


 


 




0090


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




0100


Simplified method


 


 


 


 


 


 


 




0110


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




0120


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




0125


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




0130


Scenario matrix approach


 


 


 


 


 


 


 










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




















 



ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE


(Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






LONG




SHORT




LONG




SHORT




LONG




SHORT




MATCHED





0020


0030


0040


0050


0060


0070


0080


0090


0100




0010



TOTAL POSITIONS



 


 


 


 


 


 


 


 


Cell linked to CA




0020


Currencies closely correlated


 


 


 


 


 


 


 


 


 




0025


of which: reporting currency


 


 


 


 


 


 


 


 


 




0030


All other currencies (including CIUs treated as different currencies)


 


 


 


 


 


 


 


 


 




0040


Gold


 


 


 


 


 


 


 


 


 




0050


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 


 


 




0060


Simplified method


 


 


 


 


 


 


 


 


 




0070


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 


 


 




0080


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 


 


 




0085


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 


 


 




0090


Scenario matrix approach


 


 


 


 


 


 


 


 


 





BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES





0100


Other assets and liabilities other than off-balance sheet items and derivatives


 


 


 


 


 


 


 


 


 




0110


Off-balance sheet items


 


 


 


 


 


 


 


 


 




0120


Derivatives


 


 


 


 


 


 


 


 


 





Memorandum items: CURRENCY POSITIONS





0130


Euro


 


 


 


 


 


 


 


 


 




0140


Lek


 


 


 


 


 


 


 


 


 




0150


Argentine Peso


 


 


 


 


 


 


 


 


 




0160


Australian Dollar


 


 


 


 


 


 


 


 


 




0170


Brazilian Real


 


 


 


 


 


 


 


 


 




0180


Bulgarian Lev


 


 


 


 


 


 


 


 


 




0190


Canadian Dollar


 


 


 


 


 


 


 


 


 




0200


Czech Koruna


 


 


 


 


 


 


 


 


 




0210


Danish Krone


 


 


 


 


 


 


 


 


 




0220


Egyptian Pound


 


 


 


 


 


 


 


 


 




0230


Pound Sterling


 


 


 


 


 


 


 


 


 




0240


Forint


 


 


 


 


 


 


 


 


 




0250


Yen


 


 


 


 


 


 


 


 


 




0280


Denar


 


 


 


 


 


 


 


 


 




0290


Mexican Peso


 


 


 


 


 


 


 


 


 




0300


Zloty


 


 


 


 


 


 


 


 


 




0310


Rumanian Leu


 


 


 


 


 


 


 


 


 




0320


Russian Ruble


 


 


 


 


 


 


 


 


 




0330


Serbian Dinar


 


 


 


 


 


 


 


 


 




0340


Swedish Krona


 


 


 


 


 


 


 


 


 




0350


Swiss Franc


 


 


 


 


 


 


 


 


 




0360


Turkish Lira


 


 


 


 


 


 


 


 


 




0370


Hryvnia


 


 


 


 


 


 


 


 


 




0380


US Dollar


 


 


 


 


 


 


 


 


 




0390


Iceland Krona


 


 


 


 


 


 


 


 


 




0400


Norwegian Krone


 


 


 


 


 


 


 


 


 




0410


Hong Kong Dollar


 


 


 


 


 


 


 


 


 




0420


New Taiwan Dollar


 


 


 


 


 


 


 


 


 




0430


New Zealand Dollar


 


 


 


 


 


 


 


 


 




0440


Singapore Dollar


 


 


 


 


 


 


 


 


 




0450


Won


 


 


 


 


 


 


 


 


 




0460


Yuan Renminbi


 


 


 


 


 


 


 


 


 




0470


Other


 


 


 


 


 


 


 


 


 










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


















 



ALL POSITIONS




NET POSITIONS




POSITIONS SUBJECT TO CAPITAL CHARGE




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT






LONG




SHORT






LONG




SHORT





0010


0020


0030


0040


0050


0060


0070




0010



TOTAL POSITIONS IN COMMODITIES



 


 


 


 


 


 


Cell linked to CA




0020


Precious metals (except gold)


 


 


 


 


 


 


 




0030


Base metals


 


 


 


 


 


 


 




0040


Agricultural products (softs)


 


 


 


 


 


 


 




0050


Others


 


 


 


 


 


 


 




0060


Of which energy products (oil, gas)


 


 


 


 


 


 


 




0070


Maturity ladder approach


 


 


 


 


 


 


 




0080


Extended maturity ladder approach


 


 


 


 


 


 


 




0090


Simplified approach: All positions


 


 


 


 


 


 


 




0100


Additional requirements for options (non-delta risks)


 


 


 


 


 


 


 




0110


Simplified method


 


 


 


 


 


 


 




0120


Delta plus approach - additional requirements for gamma risk


 


 


 


 


 


 


 




0130


Delta plus approach - additional requirements for vega risk


 


 


 


 


 


 


 




0135


Delta plus approach - non-continuous options and warrants


 


 


 


 


 


 


 




0140


Scenario matrix approach


 


 


 


 


 


 


 










C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)



























 



VaR




STRESSED VaR




INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE




ALL PRICE RISKS CAPITAL CHARGE FOR CTP




OWN FUNDS REQUIREMENTS




TOTAL RISK EXPOSURE AMOUNT




Number of overshootings during previous 250 working days




VaR Multiplication Factor (mc)




SVaR Multiplication Factor (ms)




ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP




ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP






MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)




PREVIOUS DAY (VaRt-1)




MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)




LATEST AVAILABLE (SVaRt-1)




12 WEEKS AVERAGE MEASURE




LAST MEASURE




FLOOR




12 WEEKS AVERAGE MEASURE




LAST MEASURE





0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180




0010



TOTAL POSITIONS



 


 


 


 


 


 


 


 


 


 


Cell linked to CA


 


 


 


 


 




 



Memorandum items: BREAKDOWN OF MARKET RISK





0020



Traded debt instruments



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0030



TDI - General risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0040



TDI - Specific Risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0050



Equities



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0060



Equities - General risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0070



Equities - Specific Risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0080



Foreign Exchange risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0090



Commodities risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0100



Total amount for general risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 




0110



Total amount for specific risk



 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 






            ’
         





ANNEX II



‘ANNEX XI
INSTRUCTIONS FOR REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR

Table of Contents









PART I:



GENERAL INSTRUCTIONS

18










1.


CONVENTIONS

18










1.1.


Numbering convention

18










1.2.


Sign convention

18










1.3.


References to Regulation (EU) No 575/2013

18











PART II:



TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES

18










1.


GENERAL REMARKS

18










2.


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

18










2.1.


General Remarks

18










2.2.


Instructions concerning specific positions

19










3.


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

20










3.1.


General Remarks

20










3.2.


Instructions concerning specific positions

21










4.


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

22










4.1.


General Remarks

22










4.2.


Instructions concerning specific positions

23










5.


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

24










5.1.


General Remarks

24










5.2.


Instructions concerning specific positions

24










6.


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

26










6.1.


General Remarks

26










6.2.


Instructions concerning specific positions

26










7.


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

28










7.1.


General Remarks

28










7.2.


Instructions concerning specific positions

28










8.


C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

29










8.1.


General Remarks

29










8.2.


Instructions concerning specific positions

29




PART I:   GENERAL INSTRUCTIONS

1.   CONVENTIONS
1.1.   Numbering convention








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.




1.2.   Sign convention








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.




1.3.   References to Regulation (EU) No 575/2013








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)
2.1.   General Remarks








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.




2.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013. Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with Article 345(1), first subparagraph, second sentence, of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of that Regulation.




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 that Regulation.




0050



POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches 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(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5.













Rows




0010-0350



TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their corresponding own funds requirements for position risk in accordance with Article 92(4), point (b)(i), of Regulation (EU) No 575/2013 and of Part Three, Chapter 2, Title IV of that Regulation 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(1) to (8) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of that Regulation. 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(1) to (6) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of that Regulation. 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), Article 335, Article 336(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 that Regulation.




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), and Article 332(1), second subparagraph, of Regulation (EU) No 575/2013 – “look-through”). N-th-to-default credit derivatives which are rated externally (Article 332(1), third subparagraph, of Regulation (EU) No 575/2013) shall be reported separately in row 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 that Regulation (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 shall 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 apply.




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.




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








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.




3.2.   Instructions concerning specific positions






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 that Regulation.




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 that Regulation.




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 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




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 set out in Article 335 of that Regulation that 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 set out in Article 335 of that Regulation.













Rows




0010



TOTAL EXPOSURES

Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role 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 set out in Article 243 or Article 270 of Regulation (EU) No 575/2013 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 position 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.




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








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.




4.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 338(2) and (3) 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 that Regulation.




0071-0097



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




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 set out in 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 set out in Article 335 of that Regulation




0450



TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either of the following:
(a) the specific risk charge that would apply just to the net long positions (column 0430);
(b) the specific risk charge that would apply just to the net short positions (column 0440).













Rows




0010



TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role 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 position 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(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 shall not be provided for n-th to default credit derivatives.




0040, 0070, 0100 and 0120



OTHER CTP POSITIONS

The following positions are included:






(a)


derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;










(b)


CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013;










(c)


other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.








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








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 (1)).




5.2.   Instructions concerning specific positions






Columns




0010-0020



ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013.
Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in Article 345(1), first subparagraph, second sentence of that Regulation.




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 shall be calculated for each national market separately. Positions in stock-index futures as referred to in 344(4), second sentence, 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(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5.













Rows




0010-0130



EQUITIES IN TRADING BOOK

Own funds requirements for position risk as referred to in Article 92(3), point (b)(i), of Regulation (EU) No 575/2013, 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 corresponding own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3, of 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 (2)

Those positions shall be only subject to general risk and, accordingly, shall 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 and the corresponding 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 corresponding own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with Article 344(4), second sentence, of that Regulation




0090-0130



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(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.




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








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.




6.2.   Instructions concerning specific positions






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), 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 that Regulation. 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(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5.













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 and their corresponding own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), of that Regulation, taking into account Article 352(2) and (4) of Regulation (EU) No 575/2013 (for conversion into the reporting currency).




0020



CURRENCIES CLOSELY CORRELATED

Positions and their corresponding 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 CIUs treated as different currencies)

Positions and their corresponding own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013.
Reporting of CIUs 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:






(a)


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);










(b)


where the direction of the CIUs 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 CIUs shall follow the calculation of the capital requirements.




0040



GOLD

Positions and their corresponding own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013




0050 - 0090



ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352(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 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.




0130-0470



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.
Positions in gold and positions in CIUs treated as a separate currency in accordance with Article 353(3) of Regulation (EU) No 575/2013 shall be included in row 0470.




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








23.


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




7.2.   Instructions concerning specific positions






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 that Regulation)




0030-0040



NET POSITIONS (LONG AND SHORT)

As referred to 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(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5













Rows




0010



TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their corresponding own funds requirements for market risk calculated in accordance with Article 92(4), point (c), of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4, of that Regulation




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.




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








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.




8.2.   Instructions concerning specific positions






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)






            ’
         


(1)  Commission Delegated Regulation (EU) No 525/2014 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 the definition of market (OJ L 148, 20.5.2014, p. 15, ELI: http://data.europa.eu/eli/reg_del/2014/525/oj).

(2)  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 (OJ L 265, 5.9.2014, p. 3, ELI: http://data.europa.eu/eli/reg_impl/2014/945/oj).

(3)  Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349, ELI: http://data.europa.eu/eli/dir/2014/65/oj).



ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj
ISSN 1977-0677 (electronic edition)