ANNEX ISupplementary provisions
ANNEX I ‘ANNEX X REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR 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 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 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 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 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 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 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 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 ’