EN  . C - MARKET RISK INTERNAL MODELS (MKR IM) VaR STRESSED VaR INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP MULTIPLICATION FACTOR (m c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg) PREVIOUS DAY (VaR t-1) MULTIPLI CATION FACTOR (m s) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg) LATEST AVAILABLE (SVaR t-1) 12 WEEKS AVERAGE MEASURE LAST MEASURE FLOOR 12 WEEKS AVERAGE MEASURE LAST MEASURE TOTAL POSITIONS Memorandum items: BREAKDOWN OF MARKET RISK Traded debt instruments TDI - General risk TDI - Specific Risk Equities Equities - General risk Equities - Specific Risk Foreign Exchange risk Commodities risk Total amount for general risk Total amount for specific riskEN.   OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number Of Over shootings During Previous 250 Working Days VaR Multiplication Factor (m c) SVaR Multiplication Factor (m s) ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP TOTAL POSITIONS Cell linked to CA Memorandum items: BREAKDOWN OF MARKET RISK Traded debt instruments TDI - General risk TDI - Specific Risk Equities Equities - General risk Equities - Specific Risk Foreign Exchange risk Commodities risk Total amount for general risk Total amount for specific risk . C – MARKET RISK INTERNAL MODEL (MKR IM). General Remarks 174. 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. 175. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can 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 can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.. Instructions concerning specific positionsEN.    - 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. Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR - 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. Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR - 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 point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR. 12 weeks average measure Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR - ALL PRICE RISKS CAPITAL CHARGE FOR CTP FLOOR Point (c) of Article 364(3) CRR = 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the ‘all price risks’ capital charge.EN  .  - 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR LAST MEASURE Point (a) of Article 364(3) CRR OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 CRR 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 Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by Number of overshootings (during previous 250 working days) Referred to in Article 366 CRR The number of overshootings based on which the addend is determined shall be reported. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c CRR, the number of overshootings reported in this column shall be net of those excluded overshootings. - VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c CRR. - 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 point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR 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 TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. Concerning the columns to (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.EN.   Rows TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR. TDI – GENERAL RISK General risk component as referred to in Article 362 CRR TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR EQUITIES Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR. EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR 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) 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).