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030040

VaR
It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

030

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Articles 364 (1) point a) (ii) and 365 (1) of CRR.

040

Previous day VaR (VaRt1)
Articles 364 (1) point a) (i) and 365 (1) of CRR.

050060

Stressed VaR
It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12months period of financial stress relevant to the institution’s portfolio.

050

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)
Articles 364 (1) point b) (ii) and 365 (1) of CRR.

060

Latest available (SVaRt1)
Articles 364 (1) point b) (i) and 365 (1) of CRR.

070080

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE
It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364 (2) point b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

070

12 weeks average measure
Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

080

Last Measure
Article 364 (2) point b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

090110

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

090

FLOOR
Article 364 (3) point (c) of CRR.
= 8% of the capital charge that would be calculated in accordance with Article 338 (1) of CRR for all positions in the ‘all price risks’ capital charge.

100110

12 WEEKS AVERAGE MEASURE AND LAST MEASURE
Article 364 (3) point (b).

110

LAST MEASURE
Article 364 (3) point (a)

120

OWN FUNDS REQUIREMENTS
Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nthtodefault credit derivative according Article 364 (2) of CRR.

130

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

140

Number of overshootings (during previous 250 working days)
Referred to in Article 366 of CRR.

150160

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)
As referred to in Article 366 of CRR.

170  180

ASSUMED CHARGE FOR CTP FLOOR  WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP
The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364 (3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible defaultrisk related loss.
