Reporting on own funds and own funds requirements


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



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

  1. General Remarks


133.This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised approach.

134.The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

135.This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The "other CTP-positions" are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they are explicitly "linked" (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading "securitisation" or "n-th to default credit derivative".

136.Positions which receive a risk weight of 1.250% can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.


      1. Instructions concerning specific positions


Columns

010 - 020

ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338 (2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.




030 - 040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.



050 - 060

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.




070 - 400

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.



160 and330


OTHER

Other risk weights not explicitly mentioned in the previous columns.

For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or – if they are incorporated into the CTP – shall be assigned to the column of the respective risk weight.


170 -180 and 360 -370


1250%

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.



190 -200 and 340 -350


SUPERVISORY FORMULA METHOD

Article 337 (2) of CRR in connection with Article 262 of CRR.



210 / 380


LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.


220 – 230 and 390 -400


INTERNAL ASSESSMENT APPROACH

Article 259 (3) and (4) of CRR.



410 -420


BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 without taking into account the discretion of Article 335 of CRR.




430 – 440


AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.



450


TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (col. 430) or (ii) the specific risk charge that would apply just to the net short positions (col. 440).





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