Reporting on own funds and own funds requirements



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Market Risk Templates


126.These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part.

127.The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.


    1. C 18.00 – Market Risk: Standardised Approach for Position Risks in Traded Debt Instruments (MKR SA TDI)

      1. General Remarks


128.This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively. .

129.The template has to be filled out separately for the “Total”, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.


      1. Instructions concerning specific positions


Columns

010 - 020

ALL POSITIONS (LONG AND SHORT)
Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.


030 – 040

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.


050

POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.

060

OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

070

TOTAL RISK EXPOSURE AMOUNT
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.



Rows

010 – 350



TRADED DEBT INSTRUMENTS IN TRADING BOOK
Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.

011

GENERAL RISK.

012

Derivatives
Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable.

013

Other assets and liabilities
Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

020-200

MATURITY BASED APPROACH
Positions in traded debt instruments subject to the maturity-based approach according to Article 339 (1) to (8) of CRR and the correspondent own funds requirements set up in Article 339 (9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.

210 - 240

GENERAL RISK. DURATION BASED APPROACH
Positions in traded debt instruments subject to the duration-based approach according to Article 340 (1) to (6) of CRR and the correspondent own funds requirements set up in Article 340 (7) of CRR. The position shall be split by zones 1, 2 and 3.


250

SPECIFIC RISK
Sum of amounts reported in rows 251, 325 and 330.
Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92 (3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327 (1) of CRR.

251 - 321

Own funds requirement for non-securitisation debt instruments
Sum of the amounts reported in rows 260 to 321.
The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332 (1) point e) para 1 and 2 CRR – “look-through”). N-th-to-default credit derivatives which are rated externally (Article 332 (1) point e) para 3 CRR) shall be reported separately in line 321.
Reporting of positions subject to Article 336 (3) CRR:

There is a special treatment for bonds which qualify for a 10% risk weight in the banking book according to Article 129 (3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1. As a consequence, rows 280 – 300 of column 060 cannot be calculated as a result of the multiplication of the percentage shown in the template with the respective cells 280 – 300 of column ”Risk capital charge”.


If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.


325

Own funds requirement for securitisation instruments
Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.

330

Own funds requirement for the correlation trading portfolio
Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.

340

PARTICULAR APPROACH FOR POSITION RISK IN CIUs
Articles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements.
If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32% of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32% of the net position of the relevant CIU exposure and the difference between 40% of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.



350 - 390

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 329 (3) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.
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