LegalizeCommission Implementing Regulation (EU) 2021/453 of 15 March 2021 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the specific reporting requirements for market risk (Text with EEA relevance)
Article 1
Reference dates and reporting dates
Article 2
Reporting on thresholds set out in Articles 94(1) and 325a(1) of Regulation (EU) No 575/2013
Institutions shall report information on the size of their on- and off-balance-sheet business that is subject to market risk, and on the size of their trading book, on an individual basis or on a consolidated basis, as applicable, by using template 90 of Annex I and in accordance with the instructions of Section 1 of Part II of Annex II to this Regulation.
Article 3
Reporting on the alternative standardised approach
Institutions shall report the results of the calculations based on the alternative standardised approach as referred to in Article 430b(1) of Regulation (EU) No 575/2013 on an individual basis or on a consolidated basis, as applicable, by using template 91 of Annex I to this Regulation and in accordance with the instructions of Section 2 of Part II of Annex II to this Regulation.
Article 4
Data exchange formats and information associated with submissions
Numeric values shall be submitted as follows:
(a) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;
(b) data points with the data type ‘Percentage’ shall be expressed per unit with a minimum precision equivalent to four decimals;
(c) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.
The information reported by institutions shall be associated with the following:
(a) reporting reference date and reference period;
(b) reporting currency;
(c) accounting standard;
(d) Legal Entity Identifier (LEI) of the reporting institution;
(e) scope of consolidation.
Article 5
Entry into force and date of application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 5 October 2021.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
ANNEX I
| COREP TEMPLATES | |||
|---|---|---|---|
| Template number | Template code | Name of the template /group of templates | Short name |
| Thresholds | |||
| 90 | C 90.00 | TRADING BOOK AND MARKET RISK THRESHOLDS | TBT |
| Alternative Standardised Approach for market risk | |||
| 91 | C 91.00 | OWN FUNDS REQUIREMENTS | MKR ASA SUM |
C 90.00 Trading book and market risk thresholds (TBT)
| On- and off-balance sheet business subject to market risk | Total assets | ||||||||
| Breakdown by regulatory book | in % of total assets | ||||||||
| Trading book | Non-trading book | ||||||||
| of which: Trading book business for the purposes of Article 94 CRR | Positions subject to foreign exchange risk | Positions subject to Commodities risk | |||||||
| Total | in % of total assets | ||||||||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | ||
| 0010 | Month 3 | ||||||||
| 0020 | Month 2 | ||||||||
| 0030 | Month 1 |
C 91.00 Alternative Standardised Approach: Summary (MKR ASA SUM)
| Positions subject to sensitivities-based method | |||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Unweighted delta sensitivities | Own funds requirements under the different scenarios | ||||||||||||||||
| Low correlation scenario | Medium correlation scenario | High correlation scenario | |||||||||||||||
| Positive | Negative | Net sensitivities per risk class | Delta Risk | Vega Risk | Curvature Risk | Total | Delta Risk | Vega Risk | Curvature Risk | Total | Delta Risk | Vega Risk | Curvature Risk | Total | |||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | |||
| 0010 | Total (Alternative standardised approach) | ||||||||||||||||
| 0020 | Sensitivity-based method | General interest rate risk (GIRR) | |||||||||||||||
| 0030 | Credit spread risk for non-securitisations (CSR) | ||||||||||||||||
| 0040 | Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR) | ||||||||||||||||
| 0050 | Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) | ||||||||||||||||
| 0060 | Equity risk (EQU) | ||||||||||||||||
| 0070 | Commodity risk(COM) | ||||||||||||||||
| 0080 | Foreign exchange risk(FX) | ||||||||||||||||
| 0090 | Default risk | Non-securitisations | |||||||||||||||
| 0100 | Securitisation not included in the alternative correlation trading portfolio (non-ACTP) | ||||||||||||||||
| 0110 | Securitisation included in the alternative correlation trading portfolio (ACTP) | ||||||||||||||||
| 0120 | Residual risk | Exotic underlyings | |||||||||||||||
| 0130 | Other residual risks | ||||||||||||||||
| Positions subject to default risk | Positions subject to residual risk | Own funds requirements | Total risk exposure amount | ||||||||||||||
| --- | --- | --- | --- | --- | --- | --- | --- | ||||||||||
| Gross jump-to-default (JTD) amounts | Gross notional value | ||||||||||||||||
| Long | Short | ||||||||||||||||
| 0160 | 0170 | 0180 | 0190 | 0200 | |||||||||||||
| 0010 | Total (Alternative standardised approach) | ||||||||||||||||
| 0020 | Sensitivity-based method | General interest rate risk (GIRR) | |||||||||||||||
| 0030 | Credit spread risk for non-securitisations (CSR) | ||||||||||||||||
| 0040 | Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR) | ||||||||||||||||
| 0050 | Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) | ||||||||||||||||
| 0060 | Equity risk (EQU) | ||||||||||||||||
| 0070 | Commodity risk(COM) | ||||||||||||||||
| 0080 | Foreign exchange risk(FX) | ||||||||||||||||
| 0090 | Default risk | Non-securitisations | |||||||||||||||
| 0100 | Securitisation not included in the alternative correlation trading portfolio (non-ACTP) | ||||||||||||||||
| 0110 | Securitisation included in the alternative correlation trading portfolio (ACTP) | ||||||||||||||||
| 0120 | Residual risk | Exotic underlyings | |||||||||||||||
| 0130 | Other residual risks |
ANNEX II
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.For the purposes of reporting information in accordance with this Implementing Regulation, institutions are required to fill in two separate templates:
(a) a template for reporting the information on the thresholds set out in Articles 94 and 325a of Regulation (EU) No 575/2013, and
(b) a template for reporting the summary of the positions and theoretical own funds requirements based on the alternative standardised approach.
1.2. Numbering convention
2.The following conventions are used to refer to the columns, rows and cells of the templates in these instructions and the validation rules used to validate the reported information:
(a) the following general notation is followed in the instructions: {Tem-plate;Row;Column};
(b) in the case of references or validation rules inside a template, which refer to or use only data points of that template, the template is not specified: {Row;Column};
(c) in the case of templates with only one column, only rows are referred to: {Template;Row};
(d) an asterisk sign is used to express that the reference or validation rule applies for the rows or columns specified before.
1.3. Sign convention
3.Any amount that increases the own funds or the own funds requirements shall be reported as a positive figure. Any amount that reduces the total own funds or the own funds requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.
1.4. Abbreviations
For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘CRR’.
PART II: TEMPLATE RELATED INSTRUCTIONS
1. C 90.00 – Trading book and market risk thresholds
4.The information provided in this template shall reflect the result of the calculation referred to in Article 94 CRR (derogation for small trading book business), and the size of an institutions’ on- and off-balance sheet business subject to market risk calculated in accordance with Article 325a CRR. That information determines whether the obligation to report information on the ‘alternative standardised approach’ or the ‘alternative internal models approach’ referred to in Article 430 CRR applies.
5.The result of the calculation referred to in Article 94 CRR and the information on the size of an institutions’ on- and off-balance sheet business subject to market risk calculated in accordance with Article 325a CRR shall be reported separately for each month-end in the quarter the report refers to in rows 0010 to 0030.
Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.