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ANNEX II

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