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Commission Implementing Regulation (EU) 2025/2159 of 27 October 2025 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/2284 as regards supervisory reporting and disclosures of investment firms

Type Implementing Regulation
Publication 2025-10-31
State In force
Text As published
Department European Commission, FISMA
Source EUR-Lex
articles 2

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

Reform history JSON API
Image omitted; see official source Official Journal of the European Union EN L series
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2025/2159 31.10.2025

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements for investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 [^ntr1-L_202502159EN.000101-E0001], and in particular Article 54(3) thereof,

Whereas:

  • (1) Commission Implementing Regulation (EU) 2021/2284 [^ntr2-L_202502159EN.000101-E0002] introduced the regulatory reporting framework for the prudential regime of investment firms under Regulation (EU) 2019/2033. Article 5 of Implementing Regulation (EU) 2021/2284 on the format and frequency of reporting by investment firms other than small and non-interconnected investment firms, cross refers Commission Implementing Regulation (EU) 2021/451 [^ntr3-L_202502159EN.000101-E0003].
  • (2) Due to the changes introduced by Regulation (EU) 2024/1623 of the European Parliament and of the Council [^ntr4-L_202502159EN.000101-E0004] into Regulation (EU) No 575/2013 of the European Parliament and of the Council [^ntr5-L_202502159EN.000101-E0005], the reporting framework set out in Implementing Regulation (EU) 2021/451 has been revised. As a consequence, that Implementing Regulation has been repealed and replaced by Commission Implementing Regulation (EU) 2024/3117 [^ntr6-L_202502159EN.000101-E0006].
  • (3) To provide investment firms with sufficient time to adapt their own internal system and to comply with the revised reporting requirements, a derogation should be laid down deferring the remittance date of the first quarterly reporting obligation after the date of application of this Regulation.
  • (4) Some elements of the revision introduced by Implementing Regulation (EU) 2024/3117 should be reflected in the reporting requirements applicable to investment firms, while other elements are not supposed to be amended. More specifically, the reporting on counterparty credit and credit valuation risks should be the same for investment firms that choose to apply the relevant provisions of Regulation (EU) No 575/2013 and credit institutions. By contrast, the reporting on own funds requirements for market risk, respectively K-factor ‘net position risk’ (K-NPR), should differ between credit institutions and investment firms, in light of the modifications introduced by Implementing Regulation (EU) 2024/3117 for credit institutions, such as the introduction of multiplication factors and other minor adjustments. Investment firms should apply and report on the own funds requirements for market risk as laid down in Part Three, Title IV, of Regulation (EU) No 575/2013 in the version in force on 26 June 2019 prior to the modifications introduced by Regulation (EU) 2019/876 of the European Parliament and of the Council [^ntr7-L_202502159EN.000101-E0007].
  • (5) To ensure coherence between the credit institutions reporting framework and the investment firms reporting framework where the regulatory framework applied is the same, and provide for specific rules where the regulatory framework applicable to investment firms and credit institutions is different, Article 5 of Implementing Regulation (EU) 2021/2284 should be amended.
  • (6) To facilitate compliance with the reporting requirements, the minimum precision requirements laid down in Article 8 of Implementing Regulation (EU) 2021/2284 should be adjusted.
  • (7) Implementing Regulation (EU) 2021/2284 should therefore be amended accordingly.
  • (8) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA).
  • (9) Given that the amendments to Implementing Regulation (EU) 2021/2284 are based on Implementing Regulation (EU) 2024/3117 and do not involve significant changes in substantive terms, in accordance with Article 15(1), second subparagraph, of Regulation (EU) No 1093/2010 of the European Parliament and of the Council [^ntr8-L_202502159EN.000101-E0008] the EBA has not conducted open public consultations, nor analysed the potential related costs and benefits or requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of that Regulation, considering that it would be highly disproportionate in relation to the scope and impact of the draft implementing technical standards,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2021/2284 is amended as follows:

  • (1) in Article 2(1), the following second subparagraph is added:

‘By way of derogation from the first subparagraph, investment firms other than small and non-interconnected investment firms shall submit the information set out in template C 25.01 of Annex I to Commission Implementing Regulation (EU) 2024/3117[^ntr*1-L_202502159EN.000101-E0009] for any reference dates between January and April 2026 by 30 June 2026 at the latest.

[^ntr*1-L_202502159EN.000101-E0009]: Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj).’;"

  • (2) in Article 5, paragraphs 2, 3 and 4 are replaced by the following:

‘2.   Investment firms other than small and non-interconnected investment firms that determine the RtM K-factor requirement on the basis of K-NPR in accordance with Article 21(1) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in templates C 18.00 to C 24.00 of Annex X to this Regulation in accordance with the instructions set out in Annex XI to this Regulation.

  1. Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(4) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in template C 34.02 of Annex I to Implementing Regulation (EU) 2024/3117, with the exception of the information on the output floor, in accordance with the applicable instructions.
  1. Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(5), second subparagraph, of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information specified in template C 25.01 of Annex I to Implementing Regulation (EU) 2024/3117 in accordance with the applicable instructions.’

;

  • (3) in Article 8, paragraph 1, point (b), point (i) is replaced by the following:
  • ‘(i) data points with the data type “Monetary” shall be reported using a minimum precision equivalent to ten thousands of units’;
  • (4) the text in Annex I to this Regulation is added as Annex X;
  • (5) the text in Annex II to this Regulation is added as Annex XI.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 27 October 2025.

For the Commission

The President

Ursula VON DER LEYEN

[^ntr1-L_202502159EN.000101-E0001]: OJ L 314, 5.12.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/2033/oj.

[^ntr2-L_202502159EN.000101-E0002]: Commission Implementing Regulation (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms (OJ L 458, 22.12.2021, p. 48, ELI: http://data.europa.eu/eli/reg_impl/2021/2284/oj).

[^ntr3-L_202502159EN.000101-E0003]: Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 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 supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1, ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj).

[^ntr4-L_202502159EN.000101-E0004]: Regulation (EU) 2024/1623 of the European Parliament and of the Council of 31 May 2024 amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (OJ L, 2024/1623, 19.6.2024, ELI: http://data.europa.eu/eli/reg/2024/1623/oj) .

[^ntr5-L_202502159EN.000101-E0005]: Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).

[^ntr6-L_202502159EN.000101-E0006]: Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 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 supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj).

[^ntr7-L_202502159EN.000101-E0007]: Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj).

[^ntr8-L_202502159EN.000101-E0008]: Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).

ANNEX I

‘ANNEX X

REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR
INVESTMENT FIRMS TEMPLATES INVESTMENT FIRMS TEMPLATES INVESTMENT FIRMS TEMPLATES INVESTMENT FIRMS TEMPLATES
Template number Template code Name of the template /group of templates Short name
MARKET RISK MKR
18 C 18.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS MKR SA TDI
19 C 19.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS MKR SA SEC
20 C 20.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO MKR SA CTP
21 C 21.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES MKR SA EQU
22 C 22.00 MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK MKR SA FX
23 C 23.00 MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES MKR SA COM
24 C 24.00 MARKET RISK INTERNAL MODELS MKR IM
C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency: Image omitted; see official source
POSITIONS POSITIONS POSITIONS POSITIONS POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS ALL POSITIONS NET POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT LONG SHORT POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
0010 0020 0030 0040 0050 0060 0070
0010 TRADED DEBT INSTRUMENTS IN TRADING BOOK TRADED DEBT INSTRUMENTS IN TRADING BOOK Cell linked to CA2
0011 General risk General risk
0012 Derivatives Derivatives
0013 Other assets and liabilities Other assets and liabilities
0020 Maturity-based approach Maturity-based approach
0030 Zone 1 Zone 1
0040 0 ≤ 1 month
0050 > 1 ≤ 3 months
0060 > 3 ≤ 6 months
0070 > 6 ≤ 12 months
0080 Zone 2 Zone 2
0090 > 1 ≤ 2 (1,9 for cupon of less than 3%) years
0100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years
0110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years
0120 Zone 3 Zone 3
0130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years
0140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years
0150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years
0160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years
0170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
0180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years
0190 (> 12,0 ≤ 20,0 for cupon of less than 3%) years
0200 (> 20 for cupon of less than 3%) years
0210 Duration-based approach Duration-based approach
0220 Zone 1 Zone 1
0230 Zone 2 Zone 2
0240 Zone 3 Zone 3
0250 Specific risk Specific risk
0251 Own funds requirement for non-securitisation debt instruments Own funds requirement for non-securitisation debt instruments
0260 Debt securities under the first category in Table 1 Debt securities under the first category in Table 1
0270 Debt securities under the second category in Table 1 Debt securities under the second category in Table 1
0280 With residual term ≤ 6 months With residual term ≤ 6 months
0290 With a residual term > 6 months and ≤ 24 months With a residual term > 6 months and ≤ 24 months
0300 With a residual term > 24 months With a residual term > 24 months
0310 Debt securities under the third category in Table 1 Debt securities under the third category in Table 1
0320 Debt securities under the fourth category in Table 1 Debt securities under the fourth category in Table 1
0321 Rated nth-to default credit derivatives Rated nth-to default credit derivatives
0325 Own funds requirement for securitisation instruments Own funds requirement for securitisation instruments
0330 Own funds requirement for the correlation trading portfolio Own funds requirement for the correlation trading portfolio
0350 Additional requirements for options (non-delta risks) Additional requirements for options (non-delta risks)
0360 Simplified method Simplified method
0370 Delta plus approach - additional requirements for gamma risk Delta plus approach - additional requirements for gamma risk
0380 Delta plus approach - additional requirements for vega risk Delta plus approach - additional requirements for vega risk
0385 Delta plus approach - non-continuous options and warrants Delta plus approach - non-continuous options and warrants
0390 Scenario matrix approach Scenario matrix approach
C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ALL POSITIONS ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIREMENTS
LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 - 10%[ [10 - 12%[ [12 - 20%[ [20 - 40%[ [40 - 100%[ [100 - 150%[ [150 - 200%[ [200 - 225%[ [225 - 250%[ [250 - 300%[ [300 - 350%[ [350 - 425%[ [425 - 500%[ [500 - 650%[ [650 - 750%[ [750 - 850%[ [850 - 1 250 %[ 1 250 % [0 - 10%[ [10 - 12%[ [12 - 20%[ [20 - 40%[ [40 - 100%[ [100 - 150%[ [150 - 200%[ [200 - 225%[ [225 - 250%[ [250 - 300%[ [300 - 350%[ [350 - 425%[ [425 - 500%[ [500 - 650%[ [650 - 750%[ [750 - 850%[ [850 - 1 250 %[ 1 250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIREMENTS
0010 0020 0030 0040 0050 0060 0061 0062 0063 0064 0065 0066 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0083 0085 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0098 0099 0101 0102 0103 0104 0402 0403 0404 0405 0900 0406 0530 0540 0570 0601
0010 TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060}
0020 Of which: RE-SECURITISATIONS
0030 ORIGINATOR: TOTAL EXPOSURES
0040 SECURITISATIONS
0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0050 RE-SECURITISATIONS
0060 INVESTOR: TOTAL EXPOSURES
0070 SECURITISATIONS
0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0080 RE-SECURITISATIONS
0090 SPONSOR: TOTAL EXPOSURES
0100 SECURITISATIONS
0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
0110 RE-SECURITISATIONS
C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ALL POSITIONS ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BEFORE CAP BEFORE CAP AFTER CAP AFTER CAP TOTAL OWN FUNDS REQUIRE-MENTS
LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 - 10%[ [10 - 12%[ [12 - 20%[ [20 - 40%[ [40 - 100%[ [100 - 250%[ [250 - 350%[ [350 - 425%[ [425 - 650%[ [650 - 1 250 %[ 1 250 % [0 - 10%[ [10 - 12%[ [12 - 20%[ [20 - 40%[ [40 - 100%[ [100 - 250%[ [250 - 350%[ [350 - 425%[ [425 - 650%[ [650 - 1 250 %[ 1 250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESS-MENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS OTHER (RW= 1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS TOTAL OWN FUNDS REQUIRE-MENTS
0010 0020 0030 0040 0050 0060 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0402 0403 0404 0405 0900 0406 0410 0420 0430 0440 0450
0010 TOTAL EXPOSURES Cell linked to MKR SA TDI {0330:0060}
SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS: SECURITISATION POSITIONS:
0020 ORIGINATOR: TOTAL EXPOSURES
0030 SECURITISATIONS
0040 OTHER CTP POSITIONS
0050 INVESTOR: TOTAL EXPOSURES
0060 SECURITISATIONS
0070 OTHER CTP POSITIONS
0080 SPONSOR: TOTAL EXPOSURES
0090 SECURITISATIONS
0100 OTHER CTP POSITIONS
N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES: N-TH-TO-DEFAULT CREDIT DERIVATIVES:
0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES
0120 OTHER CTP POSITIONS
C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market: Image omitted; see official source
POSITIONS POSITIONS POSITIONS POSITIONS POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
ALL POSITIONS ALL POSITIONS NET POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT NET POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT LONG SHORT POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
0010 0020 0030 0040 0050 0060 0070
0010 EQUITIES IN TRADING BOOK Cell linked to CA
0020 General risk
0021 Derivatives
0022 Other assets and liabilities
0030 Exchange traded stock-index futures broadly diversified subject to particular approach
0040 Other equities than exchange traded stock-index futures broadly diversified
0050 Specific risk
0090 Additional requirements for options (non-delta risks)
0100 Simplified method
0110 Delta plus approach - additional requirements for gamma risk
0120 Delta plus approach - additional requirements for vega risk
0125 Delta plus approach - non-continuous options and warrants
0130 Scenario matrix approach
C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ALL POSITIONS ALL POSITIONS NET POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT LONG SHORT LONG SHORT MATCHED OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
0020 0030 0040 0050 0060 0070 0080 0090 0100
0010 TOTAL POSITIONS Cell linked to CA
0020 Currencies closely correlated
0025 of which: reporting currency
0030 All other currencies (including CIUs treated as different currencies)
0040 Gold
0050 Additional requirements for options (non-delta risks)
0060 Simplified method
0070 Delta plus approach - additional requirements for gamma risk
0080 Delta plus approach - additional requirements for vega risk
0085 Delta plus approach - non-continuous options and warrants
0090 Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
0100 Other assets and liabilities other than off-balance sheet items and derivatives
0110 Off-balance sheet items
0120 Derivatives
Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS Memorandum items: CURRENCY POSITIONS
0130 Euro
0140 Lek
0150 Argentine Peso
0160 Australian Dollar
0170 Brazilian Real
0180 Bulgarian Lev
0190 Canadian Dollar
0200 Czech Koruna
0210 Danish Krone
0220 Egyptian Pound
0230 Pound Sterling
0240 Forint
0250 Yen
0280 Denar
0290 Mexican Peso
0300 Zloty
0310 Rumanian Leu
0320 Russian Ruble
0330 Serbian Dinar
0340 Swedish Krona
0350 Swiss Franc
0360 Turkish Lira
0370 Hryvnia
0380 US Dollar
0390 Iceland Krona
0400 Norwegian Krone
0410 Hong Kong Dollar
0420 New Taiwan Dollar
0430 New Zealand Dollar
0440 Singapore Dollar
0450 Won
0460 Yuan Renminbi
0470 Other
C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ALL POSITIONS ALL POSITIONS NET POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT NET POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT LONG SHORT POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
0010 0020 0030 0040 0050 0060 0070
0010 TOTAL POSITIONS IN COMMODITIES Cell linked to CA
0020 Precious metals (except gold)
0030 Base metals
0040 Agricultural products (softs)
0050 Others
0060 Of which energy products (oil, gas)
0070 Maturity ladder approach
0080 Extended maturity ladder approach
0090 Simplified approach: All positions
0100 Additional requirements for options (non-delta risks)
0110 Simplified method
0120 Delta plus approach - additional requirements for gamma risk
0130 Delta plus approach - additional requirements for vega risk
0135 Delta plus approach - non-continuous options and warrants
0140 Scenario matrix approach
C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)
VaR VaR STRESSED VaR STRESSED VaR INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP ALL PRICE RISKS CAPITAL CHARGE FOR CTP ALL PRICE RISKS CAPITAL CHARGE FOR CTP OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number of overshootings during previous 250 working days VaR Multiplication Factor (mc) SVaR Multiplication Factor (ms) ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) 12 WEEKS AVERAGE MEASURE LAST MEASURE FLOOR 12 WEEKS AVERAGE MEASURE LAST MEASURE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number of overshootings during previous 250 working days VaR Multiplication Factor (mc) SVaR Multiplication Factor (ms) ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP
0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180
0010 TOTAL POSITIONS Cell linked to CA
Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK Memorandum items: BREAKDOWN OF MARKET RISK
0020 Traded debt instruments
0030 TDI - General risk
0040 TDI - Specific Risk
0050 Equities
0060 Equities - General risk
0070 Equities - Specific Risk
0080 Foreign Exchange risk
0090 Commodities risk
0100 Total amount for general risk
0110 Total amount for specific risk

’

ANNEX II

‘ANNEX XI

INSTRUCTIONS FOR REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR

Table of Contents
PART I: GENERAL INSTRUCTIONS 18
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1. CONVENTIONS 18
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1.1. Numbering convention 18
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1.2. Sign convention 18
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1.3. References to Regulation (EU) No 575/2013 18
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PART II: TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES 18
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1. GENERAL REMARKS 18
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2. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) 18
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2.1. General Remarks 18
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2.2. Instructions concerning specific positions 19
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3. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 20
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3.1. General Remarks 20
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3.2. Instructions concerning specific positions 21
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4. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) 22
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4.1. General Remarks 22
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4.2. Instructions concerning specific positions 23
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5. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) 24
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5.1. General Remarks 24
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5.2. Instructions concerning specific positions 24
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6. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) 26
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6.1. General Remarks 26
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6.2. Instructions concerning specific positions 26
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7. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) 28
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7.1. General Remarks 28
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7.2. Instructions concerning specific positions 28
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8. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) 29
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8.1. General Remarks 29
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8.2. Instructions concerning specific positions 29

PART I:   GENERAL INSTRUCTIONS

1. CONVENTIONS

1.1.   Numbering convention
1. The document follows the labelling convention set in points 2 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
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2. The following general notation is followed in the instructions: {Template; Row; Column}.
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3. In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.
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4. In the case of templates with only one column, only rows are referred to. {Template; Row}.
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5. An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.2.   Sign convention
6. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital 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.

1.3.   References to Regulation (EU) No 575/2013
7. All references to Articles 325 to Article 377 of Regulation (EU) No 575/2013 shall be read as references to the version of that Regulation in force on 26 June 2019.

1. GENERAL REMARKS
8. These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with 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 for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.
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9. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components to calculate the capital required against that position risk. The first component shall cover its specific-risk – that 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 – that 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 is laid down in Articles 326 to 333 of Regulation (EU) No 575/2013.

2. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

2.1.   General Remarks
10. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 325(2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under Regulation (EU) No 575/2013 are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP shall only be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.
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11. This template shall 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, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

2.2.   Instructions concerning specific positions
Columns Columns
0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013. Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with Article 345(1), first subparagraph, second sentence, of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of that Regulation.
0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.
0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches in Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013, receive a capital charge.
0060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013.
0070 TOTAL RISK EXPOSURE AMOUNT Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5.
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Rows Rows
0010-0350 TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their corresponding own funds requirements for position risk in accordance with Article 92(4), point (b)(i), of Regulation (EU) No 575/2013 and of Part Three, Chapter 2, Title IV of that Regulation shall be reported depending on risk category, maturity and approach used.
0011 GENERAL RISK
0012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 of Regulation (EU) No 575/2013, where applicable.
0013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
0020-0200 MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in Article 339(1) to (8) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of that Regulation. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.
0210-0240 GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in Article 340(1) to (6) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of that Regulation. The position shall be split by zones 1, 2 and 3.
0250 SPECIFIC RISK Sum of amounts reported in rows 0251, 0325 and 0330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with Article 92(3), point (b), Article 335, Article 336(1), (2) and (3) and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of that Regulation.
0251-0321 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 shall be calculated by summing up the risk weights of the reference entities (Article 332(1), point (e), and Article 332(1), second subparagraph, of Regulation (EU) No 575/2013 – “look-through”). N-th-to-default credit derivatives which are rated externally (Article 332(1), third subparagraph, of Regulation (EU) No 575/2013) shall be reported separately in row 321. Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of that Regulation (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. Those positions shall be assigned to rows 0280-0300 in accordance with the residual term to final maturity. Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 of Regulation (EU) No 575/2013 shall apply.
0325 Own funds requirement for securitisation instruments Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
0330 Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
0350-0390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) of Regulation (EU) No 575/2013. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

3. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

3.1.   General Remarks
12. This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.
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13. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all positions of the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.
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14. Positions which receive a risk weight of 1 250 % may alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct.

3.2.   Instructions concerning specific positions
Columns Columns
0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation (securitisation positions). Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of that Regulation.
0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013
0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.
0061-0104 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013. The breakdown shall be done separately for long and short positions.
0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 of Regulation (EU) No 575/2013
0402 SEC-IRBA Article 259 and 260 of Regulation (EU) No 575/2013
0403 SEC-SA Article 261 and 262 of Regulation (EU) No 575/2013
0404 SEC-ERBA Article 263 and 264 of Regulation (EU) No 575/2013
0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013.
0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a (3) of Regulation (EU) No 575/2013
0406 OTHER (RW = 1 250  %) Article 254(7) of Regulation (EU) No 575/2013
0530-0540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a of Regulation (EU) No 575/2013
0570 BEFORE CAP Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion set out in Article 335 of that Regulation that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
0601 AFTER CAP / TOTAL OWN FUND REQUIREMENTS Article 337 of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation.
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Rows Rows
0010 TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role of originator or investor or sponsor.
0040, 0070 and 0100 SECURITISATION POSITIONS Article 4(1), point (62), of Regulation (EU) No 575/2013.
0020, 0050, 0080 and 0110 RE-SECURITISATIONS POSITIONS Article 4(1), point (64), of Regulation (EU) No 575/2013
0041, 0071 and 0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria set out in Article 243 or Article 270 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.
0030-0050 ORIGINATOR Article 4(1), point (13), of Regulation (EU) No 575/2013
0060-0080 INVESTOR Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator, sponsor nor original lender.
0090-0110 SPONSOR Article 4(1), point (14), of Regulation (EU) No 575/2013. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

4. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

4.1.   General Remarks
15. This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) of Regulation (EU) No 575/2013) and the corresponding own funds requirements under the Standardised Approach.
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16. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 338(2) and (3) of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds requirements for the general risk of those positions are reported in the MKR SA TDI or the MKR IM template.
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17. This template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The “other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) of Regulation (EU) No 575/2013), but they are explicitly “linked” to one of those two positions (because of the hedging intent).
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18. Positions which receive a risk weight of 1 250 % may alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct.

4.2.   Instructions concerning specific positions
Columns Columns
0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 338(2) and (3) of that Regulation (positions assigned to the Correlation Trading Portfolio) Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013.
0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 of Regulation (EU) No 575/2013
0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013 Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.
0071-0097 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4, and Article 266 of Regulation (EU) No 575/2013
0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 of Regulation (EU) No 575/2013
0402 SEC-IRBA Articles 259 and 260 of Regulation (EU) No 575/2013
0403 SEC-SA Articles 261 and 262 of Regulation (EU) No 575/2013
0404 SEC-ERBA Articles 263 and 264 of Regulation (EU) No 575/2013
0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013
0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013
0406 OTHER (RW=1 250  %) Article 254(7) of Regulation (EU) No 575/2013
0410-0420 BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion set out in Article 335 of that Regulation
0430-0440 AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS Article 338 of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation
0450 TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either of the following: (a) the specific risk charge that would apply just to the net long positions (column 0430); (b) the specific risk charge that would apply just to the net short positions (column 0440).
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Rows Rows
0010 TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role of originator, investor or sponsor.
0020-0040 ORIGINATOR Article 4(1), point (13), of Regulation (EU) No 575/2013
0050-0070 INVESTOR Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator, sponsor nor original lender
0080-0100 SPONSOR Article 4(1), point (14), of Regulation (EU) No 575/2013 A sponsor that also securitises its own assets shall fill in the originator’'s rows with the information regarding its own securitised assets.
0030, 0060 and 0090 SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in Article 338(2) and (3) of Regulation (EU) No 575/2013. 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”.
0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 of Regulation (EU) No 575/2013 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 shall not be provided for n-th to default credit derivatives.
0040, 0070, 0100 and 0120 OTHER CTP POSITIONS The following positions are included: (a) derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; (b) CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013; (c) other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.

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