Commission Implementing Regulation (EU) 2021/2284 Annex X: REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR

Annex X - REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR

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Annex X

REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR

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INVESTMENT FIRMS TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		MARKET RISK	MKR
18	C 18.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS	MKR SA TDI
19	C 19.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS	MKR SA SEC
20	C 20.00	MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO	MKR SA CTP
21	C 21.00	MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES	MKR SA EQU
22	C 22.00	MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK	MKR SA FX
23	C 23.00	MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES	MKR SA COM
24	C 24.00	MARKET RISK INTERNAL MODELS	MKR IM

C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency:

			POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
			ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
			LONG	SHORT	LONG	SHORT	POSITIONS SUBJECT TO CAPITAL CHARGE
			0010	0020	0030	0040	0050	0060	0070
0010	TRADED DEBT INSTRUMENTS IN TRADING BOOK								Cell linked to CA2
0011	General risk
0012	Derivatives
0013	Other assets and liabilities
0020	Maturity-based approach
0030	Zone 1
0040		0 ≤ 1 month
0050		> 1 ≤ 3 months
0060		> 3 ≤ 6 months
0070		> 6 ≤ 12 months
0080	Zone 2
0090		> 1 ≤ 2 (1,9 for cupon of less than 3%) years
0100		> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years
0110		> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years
0120	Zone 3
0130		> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years
0140		> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years
0150		> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years
0160		> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years
0170		> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
0180		> 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years
0190		(> 12,0 ≤ 20,0 for cupon of less than 3%) years
0200		(> 20 for cupon of less than 3%) years
0210	Duration-based approach
0220	Zone 1
0230	Zone 2
0240	Zone 3
0250	Specific risk
0251	Own funds requirement for non-securitisation debt instruments
0260	Debt securities under the first category in Table 1
0270	Debt securities under the second category in Table 1
0280	With residual term ≤ 6 months
0290	With a residual term > 6 months and ≤ 24 months
0300	With a residual term > 24 months
0310	Debt securities under the third category in Table 1
0320	Debt securities under the fourth category in Table 1
0321	Rated nth-to default credit derivatives
0325	Own funds requirement for securitisation instruments
0330	Own funds requirement for the correlation trading portfolio
0350	Additional requirements for options (non-delta risks)
0360	Simplified method
0370	Delta plus approach - additional requirements for gamma risk
0380	Delta plus approach - additional requirements for vega risk
0385	Delta plus approach - non-continuous options and warrants
0390	Scenario matrix approach

C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS																		BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS																		BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES						OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402		BEFORE CAP	AFTER CAP / TOTAL OWN FUND REQUIREMENTS
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	[0 - 10%[	[10 - 12%[	[12 - 20%[	[20 - 40%[	[40 - 100%[	[100 - 150%[	[150 - 200%[	[200 - 225%[	[225 - 250%[	[250 - 300%[	[300 - 350%[	[350 - 425%[	[425 - 500%[	[500 - 650%[	[650 - 750%[	[750 - 850%[	[850 - 1 250 %[	1 250 %	[0 - 10%[	[10 - 12%[	[12 - 20%[	[20 - 40%[	[40 - 100%[	[100 - 150%[	[150 - 200%[	[200 - 225%[	[225 - 250%[	[250 - 300%[	[300 - 350%[	[350 - 425%[	[425 - 500%[	[500 - 650%[	[650 - 750%[	[750 - 850%[	[850 - 1 250 %[	1 250 %	SEC-IRBA	SEC-SA	SEC-ERBA	INTERNAL ASSESSMENT APPROACH	SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS	OTHER (RW=1 250 %)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	BEFORE CAP	AFTER CAP / TOTAL OWN FUND REQUIREMENTS
		0010	0020	0030	0040	0050	0060	0061	0062	0063	0064	0065	0066	0071	0072	0073	0074	0075	0076	0077	0078	0079	0081	0082	0083	0085	0086	0087	0088	0089	0091	0092	0093	0094	0095	0096	0097	0098	0099	0101	0102	0103	0104	0402	0403	0404	0405	0900	0406	0530	0540	0570	0601
0010	TOTAL EXPOSURES																																																				Cell linked to MKR SA TDI {325:060}
0020	Of which: RE-SECURITISATIONS
0030	ORIGINATOR: TOTAL EXPOSURES
0040	SECURITISATIONS
0041	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0050	RE-SECURITISATIONS
0060	INVESTOR: TOTAL EXPOSURES
0070	SECURITISATIONS
0071	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0080	RE-SECURITISATIONS
0090	SPONSOR: TOTAL EXPOSURES
0100	SECURITISATIONS
0101	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0110	RE-SECURITISATIONS

C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

		ALL POSITIONS		(-) POSITIONS DEDUCTED FROM OWN FUNDS		NET POSITIONS		BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS											BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS											BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES						BEFORE CAP		AFTER CAP		TOTAL OWN FUNDS REQUIRE-MENTS
		LONG	SHORT	(-) LONG	(-) SHORT	LONG	SHORT	[0 - 10%[	[10 - 12%[	[12 - 20%[	[20 - 40%[	[40 - 100%[	[100 - 250%[	[250 - 350%[	[350 - 425%[	[425 - 650%[	[650 - 1 250 %[	1 250 %	[0 - 10%[	[10 - 12%[	[12 - 20%[	[20 - 40%[	[40 - 100%[	[100 - 250%[	[250 - 350%[	[350 - 425%[	[425 - 650%[	[650 - 1 250 %[	1 250 %	SEC-IRBA	SEC-SA	SEC-ERBA	INTERNAL ASSESS-MENT APPROACH	SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS	OTHER (RW= 1 250 %)	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	WEIGHTED NET LONG POSITIONS	WEIGHTED NET SHORT POSITIONS	TOTAL OWN FUNDS REQUIRE-MENTS
		0010	0020	0030	0040	0050	0060	0071	0072	0073	0074	0075	0076	0077	0078	0079	0081	0082	0086	0087	0088	0089	0091	0092	0093	0094	0095	0096	0097	0402	0403	0404	0405	0900	0406	0410	0420	0430	0440	0450
0010	TOTAL EXPOSURES																																							Cell linked to MKR SA TDI {0330:0060}
	SECURITISATION POSITIONS:
0020	ORIGINATOR: TOTAL EXPOSURES
0030	SECURITISATIONS
0040	OTHER CTP POSITIONS
0050	INVESTOR: TOTAL EXPOSURES
0060	SECURITISATIONS
0070	OTHER CTP POSITIONS
0080	SPONSOR: TOTAL EXPOSURES
0090	SECURITISATIONS
0100	OTHER CTP POSITIONS
	N-TH-TO-DEFAULT CREDIT DERIVATIVES:
0110	N-TH-TO-DEFAULT CREDIT DERIVATIVES
0120	OTHER CTP POSITIONS

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	NET POSITIONS
		LONG	SHORT	LONG	SHORT
		0010	0020	0030	0040	0050	0060	0070
0010	EQUITIES IN TRADING BOOK							Cell linked to CA
0020	General risk
0021	Derivatives
0022	Other assets and liabilities
0030	Exchange traded stock-index futures broadly diversified subject to particular approach
0040	Other equities than exchange traded stock-index futures broadly diversified
0050	Specific risk
0090	Additional requirements for options (non-delta risks)
0100	Simplified method
0110	Delta plus approach - additional requirements for gamma risk
0120	Delta plus approach - additional requirements for vega risk
0125	Delta plus approach - non-continuous options and warrants
0130	Scenario matrix approach

C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	LONG	SHORT	LONG	SHORT	MATCHED	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		0020	0030	0040	0050	0060	0070	0080	0090	0100
0010	TOTAL POSITIONS									Cell linked to CA
0020	Currencies closely correlated
0025	of which: reporting currency
0030	All other currencies (including CIUs treated as different currencies)
0040	Gold
0050	Additional requirements for options (non-delta risks)
0060	Simplified method
0070	Delta plus approach - additional requirements for gamma risk
0080	Delta plus approach - additional requirements for vega risk
0085	Delta plus approach - non-continuous options and warrants
0090	Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
0100	Other assets and liabilities other than off-balance sheet items and derivatives
0110	Off-balance sheet items
0120	Derivatives
Memorandum items: CURRENCY POSITIONS
0130	Euro
0140	Lek
0150	Argentine Peso
0160	Australian Dollar
0170	Brazilian Real
0180	Bulgarian Lev
0190	Canadian Dollar
0200	Czech Koruna
0210	Danish Krone
0220	Egyptian Pound
0230	Pound Sterling
0240	Forint
0250	Yen
0280	Denar
0290	Mexican Peso
0300	Zloty
0310	Rumanian Leu
0320	Russian Ruble
0330	Serbian Dinar
0340	Swedish Krona
0350	Swiss Franc
0360	Turkish Lira
0370	Hryvnia
0380	US Dollar
0390	Iceland Krona
0400	Norwegian Krone
0410	Hong Kong Dollar
0420	New Taiwan Dollar
0430	New Zealand Dollar
0440	Singapore Dollar
0450	Won
0460	Yuan Renminbi
0470	Other

C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		LONG	SHORT	NET POSITIONS
		LONG	SHORT	LONG	SHORT
		0010	0020	0030	0040	0050	0060	0070
0010	TOTAL POSITIONS IN COMMODITIES							Cell linked to CA
0020	Precious metals (except gold)
0030	Base metals
0040	Agricultural products (softs)
0050	Others
0060	Of which energy products (oil, gas)
0070	Maturity ladder approach
0080	Extended maturity ladder approach
0090	Simplified approach: All positions
0100	Additional requirements for options (non-delta risks)
0110	Simplified method
0120	Delta plus approach - additional requirements for gamma risk
0130	Delta plus approach - additional requirements for vega risk
0135	Delta plus approach - non-continuous options and warrants
0140	Scenario matrix approach

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

		VaR		STRESSED VaR		INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE		ALL PRICE RISKS CAPITAL CHARGE FOR CTP			OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings 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
		MULTIPLICATION FACTOR (m_c) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR_avg)	PREVIOUS DAY (VaR_t-1)	MULTIPLICATION 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	OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	Number of overshootings during previous 250 working days	VaR Multiplication Factor (m_c)	SVaR Multiplication Factor (m_s)
		0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180
0010	TOTAL POSITIONS											Cell linked to CA
	Memorandum items: BREAKDOWN OF MARKET RISK
0020	Traded debt instruments
0030	TDI - General risk
0040	TDI - Specific Risk
0050	Equities
0060	Equities - General risk
0070	Equities - Specific Risk
0080	Foreign Exchange risk
0090	Commodities risk
0100	Total amount for general risk
0110	Total amount for specific risk