ANNEX I
SPECIFIC REPORTING REQUIREMENTS FOR MARKET RISK
COREP TEMPLATES | |||
Template number | Template code | Name of the template /group of templates | Short name |
Thresholds | |||
90 | C 90.00 | TRADING BOOK AND MARKET RISK THRESHOLDS | TBT |
Alternative Standardised Approach for market risk | |||
91 | C 91.00 | OWN FUNDS REQUIREMENTS | MKR ASA SUM |
C 90.00 Trading book and market risk thresholds (TBT) |
On- and off-balance sheet business subject to market risk | Total assets | ||||||||
Breakdown by regulatory book | in % of total assets | ||||||||
Trading book | Non-trading book | ||||||||
of which: Trading book business for the purposes of Article 94 CRR | Positions subject to foreign exchange risk | Positions subject to Commodities risk | |||||||
Total | in % of total assets | ||||||||
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | ||
0010 | Month 3 | ||||||||
0020 | Month 2 | ||||||||
0030 | Month 1 | ||||||||
C 91.00 Alternative Standardised Approach: Summary (MKR ASA SUM) |
Positions subject to sensitivities-based method | |||||||||||||||||
Unweighted delta sensitivities | Own funds requirements under the different scenarios | ||||||||||||||||
Low correlation scenario | Medium correlation scenario | High correlation scenario | |||||||||||||||
Positive | Negative | Net sensitivities per risk class | Delta Risk | Vega Risk | Curvature Risk | Total | Delta Risk | Vega Risk | Curvature Risk | Total | Delta Risk | Vega Risk | Curvature Risk | Total | |||
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | |||
0010 | Total (Alternative standardised approach) | ||||||||||||||||
0020 | Sensitivity-based method | General interest rate risk (GIRR) | |||||||||||||||
0030 | Credit spread risk for non-securitisations (CSR) | ||||||||||||||||
0040 | Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR) | ||||||||||||||||
0050 | Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) | ||||||||||||||||
0060 | Equity risk (EQU) | ||||||||||||||||
0070 | Commodity risk(COM) | ||||||||||||||||
0080 | Foreign exchange risk(FX) | ||||||||||||||||
0090 | Default risk | Non-securitisations | |||||||||||||||
0100 | Securitisation not included in the alternative correlation trading portfolio (non-ACTP) | ||||||||||||||||
0110 | Securitisation included in the alternative correlation trading portfolio (ACTP) | ||||||||||||||||
0120 | Residual risk | Exotic underlyings | |||||||||||||||
0130 | Other residual risks | ||||||||||||||||
Positions subject to default risk | Positions subject to residual risk | Own funds requirements | Total risk exposure amount | ||||
Gross jump-to-default (JTD) amounts | Gross notional value | ||||||
Long | Short | ||||||
0160 | 0170 | 0180 | 0190 | 0200 | |||
0010 | Total (Alternative standardised approach) | ||||||
0020 | Sensitivity-based method | General interest rate risk (GIRR) | |||||
0030 | Credit spread risk for non-securitisations (CSR) | ||||||
0040 | Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR) | ||||||
0050 | Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) | ||||||
0060 | Equity risk (EQU) | ||||||
0070 | Commodity risk(COM) | ||||||
0080 | Foreign exchange risk(FX) | ||||||
0090 | Default risk | Non-securitisations | |||||
0100 | Securitisation not included in the alternative correlation trading portfolio (non-ACTP) | ||||||
0110 | Securitisation included in the alternative correlation trading portfolio (ACTP) | ||||||
0120 | Residual risk | Exotic underlyings | |||||
0130 | Other residual risks | ||||||