Reporting on own funds and own funds requirements


C 23.00 - Market Risk: Standardised Approaches for Commodities (MKR SA COM)



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C 23.00 - Market Risk: Standardised Approaches for Commodities (MKR SA COM)

  1. General Remarks


141.This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.
      1. Instructions concerning specific positions


Columns

010 - 020

All POSITIONS (LONG AND SHORT)
Gross long/short positions considered positions in the same commodity according to Article 357 (1) and (5) of CRR (see also Article 359 (1) of CRR).



030 – 040

NET POSITIONS (LONG AND SHORT)
As defined in Article 357 (4) of CRR.

050

POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.


060

OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.

070

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



Rows

010

TOTAL POSITIONS IN COMMODITIES
Positions in commodities and their correspondent own funds requirements for market risk according to article 92 (3) point c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.

020 – 060

POSITIONS BY CATEGORY OF COMMODITY
For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.



070

MATURITY LADDER APPROACH
Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.


080

EXTENDED MATURITY LADDER APPROACH
Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR


090

SIMPLIFIED APPROACH
Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.


100-140

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 358 (4) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation




    1. C 24.00 - Market Risk Internal Model (MKR IM)

      1. General Remarks


142.This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements.

143.Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.


      1. Instructions concerning specific positions


columns

030-040

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 (VaRt-1)
Articles 364 (1) point a) (i) and 365 (1) of CRR.


050-060

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 12-months 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 (SVaRt-1)
Articles 364 (1) point b) (i) and 365 (1) of CRR.


070-080

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.


090-110

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.


100-110

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 nth-to-default 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.


150-160

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 default-risk related loss.



Rows

010

TOTAL POSITIONS
Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363 (1) of CRR linked to the risk factors specified in Article 367 (2) of CRR.

Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.




020

TRADED DEBT INSTRUMENTS
Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367 (2) of CRR.

030

TDI – GENERAL RISK
General risk defined in Article 362 of CRR.

040

TDI – SPECIFIC RISK
Specific risk defined in Article 362 of CRR.

050

EQUITIES
Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367 (2) of CRR.


060

EQUITIES – GENERAL RISK
General risk defined in Article 362 of CRR.

070

EQUITIES – SPECIFIC RISK
Specific risk defined in Article 362 of CRR.

080

FOREIGN EXCHANGE RISK
Articles 363 (1) and 367 (2) of CRR.

090

COMMODITY RISK
Articles 363 (1) and 367 (2) of CRR.

100

TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).





110


TOTAL AMOUNT FOR SPECIFIC RISK
Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).






    1. C 25.00 - CREDIT VALUATION ADJUSTMENT RISK (CVA)

      1. Instructions concerning specific positions


Columns

010

Exposure value

Article 271 of CRR in accordance with article 382 of CRR

Total EAD from all transactions subject to CVA charge


020

Of which: OTC derivatives

Article 271 of CRR in accordance with article 382 (1) of CRR

The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set


030

Of which: SFT

Article 271 of CRR in accordance with article 382 (2) of CRR

The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set


040

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of CRR in accordance with article 363 (1)(d) of CRR

VaR calculation based on internal models for market risk


050

PREVIOUS DAY (VaRt-1)

See instructions referring to column 040



060

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions referring to column 040



070

LATEST AVAILABLE (SVaRt-1)

See instructions referring to column 040



080

OWN FUNDS REQUIREMENTS

Article 92 (3) d) of CRR

Own funds requirements for CVA Risk calculated via the chosen method


090

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) b) of CRR

Own funds requirements multiplied by 12,5.





Memorandum items

100

Number of counterparties

Article 382 of CRR

Number of counterparties included in calculation of own funds for CVA risk

Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.



110

Of which: proxy was used to determine credit spread

number of counterparties where the credit spread was determined using a proxy instead of directly observed market data




120

INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties



130

SINGLE NAME CDS

Article 386 (1) lit. a of CRR

Total notional amounts of single name CDS used as hedge for CVA risk


140

INDEX CDS

Article 386 (1) lit. b) of CRR

Total notional amounts of index CDS used as hedge for CVA risk




Rows

010

CVA risk total

Sum of rows 020-040 as applicable



020

According to Advanced method

Advanced CVA risk method as prescribed by Article 383 of CRR



030

According to Standardised method

Standardised CVA risk method as prescribed by Article 384 of CRR



040

Based on OEM

Amounts subject to the application of Art. 385 of CRR





1 The data requested to the institutions in this template shall be reported on an accumulated basis for the natural year or report (i.e. since 1st of January of the current year).

2 ‘Stand alone institutions’ are neither part of a group, nor consolidate themselves in the same country where they are subject to own funds requirements.



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