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.