Reporting on own funds and own funds requirements



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Rows

010

TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.



020-040

ORIGINATOR

Article 4 (41) of CRR



050-070

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor




080-100

SPONSOR

Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets



030,060 and

090


SECURITISATIONS

The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338 (2) and (3) of CRR.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions'.


110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. .


040,070,

100 and120



OTHER CTP POSITIONS

The positions in:



  • Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions;

  • CTP positions hedged by credit derivatives according to Article 346 CRR;

  • Other positions that satisfy Article 338 (3) of CRR ;

are included.



    1. C 21.00 - Market Risk: Standardised Approach for Position Risk in Equities (MKR SA EQU)

      1. General Remarks


137.This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach.

138.The template has to be filled out separately for the “Total”, plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term “market” shall be read as “country”.


      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).

030 – 040

NET POSITIONS (LONG AND SHORT)
Articles 327, 329, 332, 341 and 345 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. The capital charge has to be calculated for each national market separately.


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 - 130

EQUITIES IN TRADING BOOK
Own funds requirements for position risk according to article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.


020 – 040

GENERAL RISK
Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR.

Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk.



Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.


021

Derivatives
Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.

022

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


030

Exchange traded stock-index futures broadly diversified and subject to a particular approach
Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344 (1) amd (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).


040

Other equities than exchange traded stock-index futures broadly diversified
Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.

050

SPECIFIC RISK
Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.


080

PARTICULAR APPROACH FOR POSITION RISK IN CIUs
The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template.
Positions in CIUs if capital requirements are calculated according to Article 348 (1) 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 (reference to the “Use of internal models to calculate own funds requirements”) of CRR.
If the particular approach according to Article 348 (1) 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 (1) 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.
If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template.



090 - 130

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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