Question
In Column 1 -exposure value, we report the accounting positions of the balance sheet (e.g. shares and bonds of the trading book), but the positions in the MRM model to calculate RWA do not provide from accounting. Moreover the scope of column 2- RWA is brider than other assets of the trading book as it includes also FX positions, index, derivatives,... How should we report?
Background on the question
There is a distortion between exposures and RWA.
Answer
Based on the instructions, the amount reported in column 020 of row 070 of the table C 43.00 is defined as "Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR". Indeed, this amount reflects a variety of market risks.