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