Commission Implementing Regulation (EU) 2021/453 of 15 March 2021 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the specific reporting requirements for market risk (Text with EEA relevance)
Reference dates and reporting dates
1. Institutions shall report the information referred to in Articles 430b, 94(1) and 325a(1) of Regulation (EU) No 575/2013 to competent authorities on a quarterly basis as this information stands on 31 March, 30 June, 30 September and 31 December.
2. Institutions shall report the information referred to in paragraph 1 by close of business of the following days: 12 May, 11 August, 11 November and 11 February.
3. Where the day referred to in paragraph 2 is not a working day in the Member State of the competent authority to which the information is to be reported, or is a Saturday or a Sunday, the information shall be submitted by close of business of the following working day.
4. Institutions shall provide the competent authorities with any corrections to the reported information without undue delay.
Reporting on thresholds set out in Articles 94(1) and 325a(1) of Regulation (EU) No 575/2013
Institutions shall report information on the size of their on- and off-balance-sheet business that is subject to market risk, and on the size of their trading book, on an individual basis or on a consolidated basis, as applicable, by using template 90 of Annex I and in accordance with the instructions of Section 1 of Part II of Annex II to this Regulation.
Reporting on the alternative standardised approach
Institutions shall report the results of the calculations based on the alternative standardised approach as referred to in Article 430b(1) of Regulation (EU) No 575/2013 on an individual basis or on a consolidated basis, as applicable, by using template 91 of Annex I to this Regulation and in accordance with the instructions of Section 2 of Part II of Annex II to this Regulation.
Data exchange formats and information associated with submissions
1. Institutions shall report the information referred to in Articles 2 and 3 of this Regulation in the data exchange formats and representations specified by their competent authority and shall respect the data point definition of the data point model and the validation formulae laid down in Annex III.
2. Information that is not required or not applicable shall not be included in the data submission.
3. Numeric values shall be submitted as follows:
(a)
data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;
(b)
data points with the data type ‘Percentage’ shall be expressed per unit with a minimum precision equivalent to four decimals;
(c)
data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.
4. Institutions shall be identified solely by their Legal Entity Identifier (LEI). Legal entities and counterparties other than institutions shall be identified by their LEI where available.
5. The information reported by institutions shall be associated with the following:
(a)
reporting reference date and reference period;
(b)
reporting currency;
(c)
accounting standard;
(d)
Legal Entity Identifier (LEI) of the reporting institution;
(e)
scope of consolidation.
Entry into force and date of application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
It shall apply from 5 October 2021.
Supplementary provisions
SPECIFIC REPORTING REQUIREMENTS FOR MARKET RISK
ANNEX ISupplementary provisions
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
INSTRUCTIONS FOR FILLING IN THE TEMPLATES IN ANNEX I ON SPECIFIC REPORTING REQUIREMENTS FOR MARKET RISK
ANNEX IISupplementary provisions
ANNEX II
INSTRUCTIONS FOR FILLING IN THE TEMPLATES IN ANNEX I ON SPECIFIC REPORTING REQUIREMENTS FOR MARKET RISK
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.1. Structure
1.
For the purposes of reporting information in accordance with this Implementing Regulation, institutions are required to fill in two separate templates:
(a)
a template for reporting the information on the thresholds set out in Articles 94 and 325a of Regulation (EU) No 575/2013, and
(b)
a template for reporting the summary of the positions and theoretical own funds requirements based on the alternative standardised approach.
1.2. Numbering convention
2.
The following conventions are used to refer to the columns, rows and cells of the templates in these instructions and the validation rules used to validate the reported information:
(a)
the following general notation is followed in the instructions: {Tem-plate;Row;Column};
(b)
in the case of references or validation rules inside a template, which refer to or use only data points of that template, the template is not specified: {Row;Column};
(c)
in the case of templates with only one column, only rows are referred to: {Template;Row};
(d)
an asterisk sign is used to express that the reference or validation rule applies for the rows or columns specified before.
1.3. Sign convention
3.
Any amount that increases the own funds or the own funds requirements shall be reported as a positive figure. Any amount that reduces the total own funds or the own funds requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.
1.4. Abbreviations
For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘CRR’.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. C 90.00 – Trading book and market risk thresholds
1.1. General remarks
4.
The information provided in this template shall reflect the result of the calculation referred to in Article 94 CRR (derogation for small trading book business), and the size of an institutions’ on- and off-balance sheet business subject to market risk calculated in accordance with Article 325a CRR. That information determines whether the obligation to report information on the ‘alternative standardised approach’ or the ‘alternative internal models approach’ referred to in Article 430 CRR applies.
1.2. Instructions concerning specific positions
5.
The result of the calculation referred to in Article 94 CRR and the information on the size of an institutions’ on- and off-balance sheet business subject to market risk calculated in accordance with Article 325a CRR shall be reported separately for each month-end in the quarter the report refers to in rows 0010 to 0030.
Row
Legal references and instructions
0010
Month 3
Data as of the end of the third month of the quarter the report refers to
0020
Month 2
Data as of the end of the second month of the quarter the report refers to
0030
Month 1
Data as of the end of the first month of the quarter the report refers to
Column
Legal references and instructions
0010
On- and off-balance sheet business subject to market risk
Article 325a(2) CRR
Institutions shall report the absolute amount reflecting the institution’s on- and off-balance sheet business subject to market risk calculated in accordance with Article 325a(2) CRR.
0020 – 0060
Breakdown by regulatory book
On- and off-balance sheet business subject to market risk shall be broken down by trading book and non-trading book.
0020
Trading book
Points (a), (c) and (f) of Article 325a(2) CRR
0030 – 0040
of which: Trading book business for the purposes of Article 94 CRR
Article 94(3) CRR
As required by point (b) of Article 94(3) CRR, institutions shall report market values as of the last day of the month; where market values are not available, fair values at the same date, or, where market values and fair values are not available at that given date, the most recent market value or fair value.
0030
Total
Article 94(3) CRR
The absolute amount of long and short positions shall be summed up as required by point (c) of Article 94(3) CRR.
0040
in % of total assets
Point (a) of Article 94(1) CRR
The size of the trading book business for the purposes of Article 94 CRR shall be expressed as a percentage of the total assets.
0050 – 0060
Non-trading book
Points (d), (e) and (f) of Article 325a(2) CRR
Non-trading book positions subject to market risk shall be reported broken down into positions subject to foreign exchange risk and positions subject to commodity risk.
The relevant amounts shall be determined in accordance with points (d) and (e) of Article 325a(2) CRR.
0070
in % of total assets
Point (a) of Article 325a(1) CRR
The on- and off-balance sheet business subject to market risk shall be expressed as a percentage of the total assets.
0080
Total assets
Point (a) of Article 94(1) CRR
Point (a) of Article 325a(1) CRR
2. C 91.00 – Market Risk: Alternative Standardised Approach Summary (MKR ASA SUM)
2.1. General Remarks
6.
This template provides summary information on the calculation of own funds requirements for Market Risk under the Alternative Standardised Approach (ASA), set out in Chapter 1a of Title IV of Part Three CRR.
7.
Under the Alternative Standardised Approach (ASA), institutions shall calculate the own funds requirements for market risk for a portfolio of trading book positions or non-trading book positions that are subject to foreign exchange or commodity risk as the sum of the following three components:
a)
The own funds requirement under the sensitivities-based method as set out in Section 2 of Chapter 1a of Title IV of Part Three CRR;
b)
The own funds requirement for the default risk as set out in Section 5 of Chapter 1a of Title IV of Part Three CRR for positions in the trading book;
c)
The own funds requirements for residual risks as set out in Section 4 of Chapter 1a of Title IV of Part Three CRR for positions in the trading book.
2.2. Instructions concerning specific positions
Column
Legal references and instructions
0010 – 0150
Positions subject to the sensitivities-based method
The own funds requirements calculated under the sensitivities-based method for delta, vega and curvature risks for instruments with and without optionality, as applicable, shall be reported separately and as a sum in the template.
The process to calculate the risk-class specific own funds requirements shall be performed for three different scenarios per risk class, which shall be reflected in separate section of the template:
—
the low correlation scenario in columns 0040 to 0070;
—
the medium correlation scenario in columns 0080 to 0110;
—
the high correlation scenario in columns 0120 to 0150.
0010 – 0030
Unweighted delta sensitivities
0010
Unweighted delta sensitivities – Positive
Article 325f(3) and Article 325r CRR.
Institutions shall calculate the sensitivity of their portfolio for each risk factor within the risk class in accordance with Article 325f(3) CRR. They shall report the sum of all positive sensitivities to delta risk factors within the risk class.
0020
Unweighted delta sensitivities – Negative
Article 325f(3) and Article 325r CRR.
Institutions shall calculate the sensitivity of their portfolio for each risk factor within the risk class in accordance with Article 325f(3) CRR. They shall report the sum of all negative sensitivities to delta risk factors within the risk class.
0030
Unweighted delta sensitivities – Net sensitivities per risk class
Institutions shall report the net sum of all positive and all negative sensitivities to the different delta risk factors within a risk class.
0040, 0080, 0120
Delta Risk
Point (a) of Article 325e(1) and Article 325f CRR.
Institutions shall report the risk-class specific own funds requirement for delta risk referred to in Article 325f(8) CRR under the applicable scenario.
0050, 0090, 0130
Vega Risk
Point (b) of Article 325e(1) and Article 325f CRR
Institutions shall report the risk-class specific own funds requirement for vega risk referred to in Article 325f(8) CRR under the applicable scenarios.
0060, 0100, 0140
Curvature Risk
Point (c) of Article 325e(1) and Article 325g CRR
0070, 0110, 0150
Total
Article 325h(3) CRR.
Institutions shall report the sum of the delta, vega and curvature risk class specific own funds requirements for each scenario.
0160 – 0170
Positions subject to default risk – Gross jump-to-default (JTD) amounts
Institutions shall report the gross jump-to-default amounts for their exposures to non-securitisation instruments calculated in accordance with Article 325w CRR, for securitisations not included in the ACTP determined in accordance with Article 325z of that CRR, and for securitisation exposures and non-securitisation exposures included in the ACTP determined in accordance with Article 325ac of CRR with a breakdown between long and short exposures.
0160
Long
0170
Short
0180
Positions subject to residual risk – Gross notional value
Article 325u CRR.
Institutions shall report the gross notional amounts, as referred to in Article 325u(3) CRR, of instruments referred to in Article 325u(2) CRR that are subject to the own funds requirement for residual risks as referred to in paragraphs (1) and (4) of Article 325u CRR.
0190
Own Funds Requirements
Article 325h(4), Articles 325w to 325ad and Article 325u CRR
The capital charge determined pursuant to Chapter 1a of Title IV of Part Three CRR for positions within the scope of application of the alternative standardised approach.
0200
Total risk exposure amount
Point (b) of Article 92(3) CRR and Article 92(4) CRR
Row
Legal references and instructions
0010
Total (alternative standardised approach)
0020 – 0080
Sensitivities-based method
Section 2 of Chapter 1a of Title IV of Part Three CRR
0020
General interest rate risk (GIRR)
Point (i) of Article 325d(1) CRR
0030
Credit spread risk for non-securitisations (CSR)
Point (ii) of Article 325d(1) CRR
0040
Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)
Point (iii) of Article 325d(1) CRR
0050
ACTP CSR – Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)
Point (iv) of Article 325d(1) CRR
0060
Equity risk (EQU)
Point (v) of Article 325d(1) CRR
0070
Commodity risk (COM)
Point (vi) of Article 325d(1) CRR
0080
Foreign exchange risk (FX)
Point (vii) of Article 325d(1) CRR
0090 – 0110
Default risk
Section 5 of Chapter 1a of Title IV of Part Three CRR
0090
Non-securitisations
Subsection 1 of Section 5 of Chapter 1a of Title IV of Part Three CRR
0100
Securitisation not included in the alternative correlation trading portfolio (non-ACTP)
Subsection 2 of Section 5 of Chapter 1a of Title IV of Part Three CRR
0110
Securitisation included in the alternative correlation trading portfolio (ACTP)
Subsection 3 of Section 5 of Chapter 1a of Title IV of Part Three CRR
0120 – 0130
Residual risk
Section 4 of Chapter 1a of Title IV of Part Three CRR
0120
Exotic underlyings
Point (a) of Article 325u(2) CRR.
0130
Other residual risks
Point (b) of Article 325u(2) CRR
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