EN.   C - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency: POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT TRADED DEBT INSTRUMENTS IN TRADING BOOK Cell linked to CA2 General risk Derivatives Other assets and liabilities Maturity-based approach Zone 1 0 ≤ 1 month > 1 ≤ 3 months > 3 ≤ 6 months > 6 ≤ 12 monthsEN  . POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Zone 2 > 1 ≤ 2 (1,9 for cupon of less than 3%) years > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years Zone 3 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years (> 12,0 ≤ 20,0 for cupon of less than 3%) years (> 20 for cupon of less than 3%) yearsEN.   POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Duration-based approach Zone 1 Zone 2 Zone 3 Specific risk Own funds requirement for non-securitisation debt instruments Debt securities under the first category in Table 1 Debt securities under the second category in Table 1 With residual term ≤ 6 months With a residual term > 6 months and ≤ 24 months With a residual term > 24 months Debt securities under the third category in Table 1 Debt securities under the fourth category in Table 1EN  . POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Rated nth-to default credit derivatives Own funds requirement for securitisation instruments Own funds requirement for the correlation trading portfolio Additional requirements for options (non-delta risks) Simplified method Delta plus approach - additional requirements for gamma risk Delta plus approach - additional requirements for vega risk Delta plus approach - non-continuous options and warrants Scenario matrix approach . C – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI). General Remarks 160. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (point (a) of Article 325(2) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {;} (securitisations) and {;} (CTP) respectively. 161. The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.EN.  . Instructions concerning specific positions  - ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR. - NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR. POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge. OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR. TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows - TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used. GENERAL RISK. Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable. Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. - MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.EN  . Rows - GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3. SPECIFIC RISK Sum of amounts reported in rows , and. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR. - 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 (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows - 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 CRR shall be applied. Own funds requirement for securitisation instruments Total own funds requirements reported in column of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. - ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.
EN.   C - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) ALL POSITIONS. POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS LONG SHORT. LONG. SHORT LONG SHORT TOTAL EXPOSURES Of which: RE-SECURITISATIONS ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONSEN  . BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS [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 % TOTAL EXPOSURES Of which: RE-SECURITISATIONS ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONSEN.   BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS [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 % TOTAL EXPOSURES Of which: RE-SECURITISATIONS ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONSEN  . BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) / BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIRE MENTS SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060} Of which: RE-SECURITISATIONS ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT RE-SECURITISATIONSC – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)EN.  . General Remarks 162. This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach. 163. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template. 164. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row of CA1.. Instructions concerning specific positions  - ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR. -. POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR - NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR. - BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions. - BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR SEC-IRBA Article 259 and 260 CRR SEC-SA Article 261 and 262 CRR SEC-ERBA Article 263 and 264 CRR INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR. OTHER (RW = 1 250 %) Article 254(7) CRREN  .  - OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) / Article 270a CRR BEFORE CAP Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. AFTER CAP/TOTAL OWN FUND REQUIREMENTS Article 337 CRR, taking into account the discretion of Article 335 CRR. Rows TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor. , and SECURITISATION POSITIONS Point (62) of Article 4(1) CRR. , , and RE-SECURITISATIONS POSITIONS Point (64) of Article 4(1) CRR , and OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment. - ORIGINATOR Point (13) of Article 4(1) CRR - INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender. - SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.
EN.   C - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) ALL POSITIONS. POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS LONG SHORT. LONG. SHORT LONG SHORT TOTAL EXPOSURES SECURITISATION POSITIONS: ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES OTHER CTP POSITIONSEN  . BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS [0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 250 %] [250 – 350 %] [350 – 425 %] [425 – 650 %] [650 – 1 250 %] 1 250 % TOTAL EXPOSURES SECURITISATION POSITIONS: ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES OTHER CTP POSITIONSEN.   BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS [0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 250 %] [250 – 350 %] [350 – 425 %] [425 – 650 %] [650 – 1 250 %] 1 250 % TOTAL EXPOSURES SECURITISATION POSITIONS: ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES OTHER CTP POSITIONSEN  . BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS TOTAL EXPOSURES Cell linked to MKR SA TDI {330:060} SECURITISATION POSITIONS: ORIGINATOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS INVESTOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS SPONSOR: TOTAL EXPOSURES SECURITISATIONS OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES OTHER CTP POSITIONSC – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)EN.  . General Remarks 165. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach. 166. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template. 167. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows , or (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row. The ‘other CTP-positions’ are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly ‘linked’ to one of those two positions (because of the hedging intent). 168. Positions which receive a risk weight of 1 250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row of CA1.. Instructions concerning specific positions  - ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction paragraphs (2) and (3) of Article 338 CRR (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) CRR. -. POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 CRR - NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR Regarding the distinction between long and short positions, see Article 328(2) CRR. - BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR - BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR SEC-IRBA Articles 259 and 260 CRR SEC-SA Articles 261 and 262 CRR SEC-ERBA Articles 263 and 264 CRREN  .  INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR. OTHER (RW = 1 250 %) Article 254(7) CRR - BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, without taking into account the discretion of Article 335 CRR - AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, taking into account the discretion of Article 335 CRR TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column ) or (ii) the specific risk charge that would apply just to the net short positions (column ). Rows TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. - ORIGINATOR Point (13) of Article 4(1) CRR - INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender - SPONSOR Point (14) of Article 4(1) CRR A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets. , and 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 paragraphs 2 and 3 of Article 338 CRR. 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’.EN.   Rows 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 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. , , and OTHER CTP POSITIONS The following positions are included: — Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; — CTP positions hedged by credit derivatives in accordance with Article 346 CRR; — Other positions that satisfy Article 338(3) CRR.
EN.   C - 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 EQUITIES IN TRADING BOOK Cell linked to CA General risk Derivatives Other assets and liabilities Exchange traded stock-index futures broadly diversified subject to particular approach Other equities than exchange traded stock- index futures broadly diversified Specific risk Additional requirements for options (non-delta risks) Simplified method Delta plus approach - additional requirements for gamma risk Delta plus approach - additional requirements for vega riskEN  . POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Delta plus approach - non-continuous options and warrants Scenario matrix approach C – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU). General Remarks 169. This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach. 170. The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement, the term ‘market’ shall be read as ‘country’ (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/ ( 12 )).. Instructions concerning specific positions  - ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR. - NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR. POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column. OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant positionEN  . ( 12 ) Commission Delegated Regulation (EU) No 525/ of 12 March supplementing Regulation (EU) No 575/ of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market (OJ L 148,. , p. 15).  TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows - EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR. - GENERAL RISK Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR Both breakdowns (rows / as well as rows /) are a breakdown related to all positions subject to general risk. Rows and request information on the breakdown by instruments. Only the breakdown in rows and shall be used as a basis for the calculation of own funds requirements. Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. 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/ ( 13 ) Those positions shall be only subject to general risk and, accordingly, must not be reported in row. Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRREN.   ( 13 ) Commission Implementing Regulation (EU) No 945/ of 4 September laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/ of the European Parliament and of the Council Rows - ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
EN.   C - 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 REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED TOTAL POSITIONS Cell linked to CA Currencies closely correlated of which: reporting currency All other currencies (including CIUs treated as different currencies) Gold Additional requirements for options (non-delta risks) Simplified method Delta plus approach - additional requirements for gamma risk Delta plus approach - additional requirements for vega riskEN  . 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 REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED Delta plus approach - non- continuous options and warrants Scenario matrix approach BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES Other assets and liabilities other than off- balance sheet items and derivatives Off-balance sheet items Derivatives Memorandum items: CURRENCY POSITIONS Euro Lek Argentine Peso Australian Dollar Brazilian RealEN.   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 REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED Bulgarian Lev Canadian Dollar Czech Koruna Danish Krone Egyptian Pound Pound Sterling Forint Yen Lithuanian Litas Denar Mexican Peso ZlotyEN  . 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 REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED Rumanian Leu Russian Ruble Serbian Dinar Swedish Krona Swiss Franc Turkish Lira Hryvnia US Dollar Iceland Krona Norwegian KroneEN.   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 REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED Hong Kong Dollar New Taiwan Dollar New Zealand Dollar Singapore Dollar Won Yuan Renminbi Other Croatian Kuna Rows - . C – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX). General Remarks 171. Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs. 172. Rows to of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows to 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.. Instructions concerning specific positions  - ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR In accordance with Article 352(2) CRR 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) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported. - NET POSITIONS (LONG AND SHORT) Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time. - POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR - 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.EN  .  POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies. OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency). CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR. 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 CRR. ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. Reporting of CIU's treated as separate currencies in accordance with Article 353 CRR: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: 1. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position); 2. Where the direction of the CIU's investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU). The reporting of those CIU's shall follow the calculation of the capital requirements. GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRREN.   Rows – ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 5 and 6 of Article 352 CRR The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. - 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. Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row or shall be included here. Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Trans actions & Long Settlement Transactions or from Contractual Cross Product Netting. Derivatives Positions valued in accordance with Article 352 CRR. - 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.
EN  . C - 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 TOTAL POSITIONS IN COMMODITIES Cell linked to CA Precious metals (except gold) Base metals Agricultural products (softs) Others Of which energy products (oil, gas) Maturity ladder approach Extended maturity ladder approach Simplified approach: All positionsEN.   ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT Additional requirements for options (non-delta risks) Simplified method Delta plus approach - additional requirements for gamma risk Delta plus approach - additional requirements for vega risk Delta plus approach - non- continuous options and warrants Scenario matrix approach . C – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM). General Remarks 173. This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.. Instructions concerning specific positions  - All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR) - NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge. OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant positionEN  .  TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 Rows TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR - POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR. MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 CRR - ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) CRR The additional requirements for options related to non-delta risks shall be reported in the