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 | | | | |