Annex IV - ASA-AIMA instructions — EBA — EU

ANNEX IV

‘Annex XXXI

INSTRUCTIONS FOR FILLING IN THE TEMPLATES OF ANNEX XXX ON REPORTING REQUIREMENTS FOR MARKET RISK – ALTERNATIVE APPROACHES

PART I: GENERAL INSTRUCTIONS

Structure and conventions

1.1 Structure

Institutions are required to fill in the following templates:

(a) a set of templates for reporting on the own funds requirements based on the alternative standardised approach for market risk, including:

i. a summary template,

ii. a set of templates for reporting information on the calculation of own funds requirements under the sensitivities-based method for all the relevant risk classes,

iii. a template for reporting information on the calculation of own funds requirements for residual risks

iv. a set of templates for reporting information on the calculation of own funds requirements for default risk and

(b) a set of templates for reporting on the own funds requirements based on the alternative internal model approach for market risk, including

i. a summary template,

ii. a set of templates for reporting detailed information on the risk factor eligibility test, the calculation of the expected shortfall and stress scenario risk measures, including back-testing results, and

iii. a set of templates for reporting information on instruments included in the scope of the internal default risk model.

(c) a template for reporting information on the profit and loss attributable to positions in scope of the alternative standardised approach.

1.2 Numbering convention

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};

(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

Any amount that increases the own funds or the own funds requirements shall be reported as a positive figure. Any amount that reduces the own funds or the own funds requirements shall be reported as a negative figure.
Positive sensitivities shall be reported as positive figures. Negative sensitivities shall be reported as negative figures.
Curvature risk positions shall be reported as positive or negative figures in accordance with the sign convention stipulated in Article 325g of Regulation (EU) No 575/2013.
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 Offsetting group

For the purposes of providing information on a consolidated basis, ‘offsetting group’ shall mean a group of entities, for which the competent authority has granted the permission to use positions in one institution or undertaking of that group to offset positions in another institution or undertaking of that group in accordance with Article 325b of Regulation (EU) No 575/2013.
‘Offsetting group’ shall also mean any individual entity whose positions cannot be offset against the positions of any other entity of the same group subject to consolidated supervision in accordance with Directive 2013/36/EU[1], because the competent authority has not granted the permission in accordance with Article 325b of Regulation (EU) No 575/2013.
Institutions shall indicate the offsetting group or offsetting groups that the data reported in a sheet refers to as follows:
1. Where the competent authority has granted the permission to offset positions between all entities included in the scope of consolidation, the field ‘offsetting group’ shall carry the value ‘Single offsetting group’;
2. Where the competent authority has granted the permission to offset positions only between a subset of the entities included in the scope of consolidation, the field ‘offsetting group’ shall carry the values ‘Offsetting group 1’, ‘Offsetting group 2’, etc. to identify the different subsets of entities or individual entities, as applicable, whose positions cannot be offset against one another. Where this Annex foresees that the institution reports information that represents the aggregate of all the offsetting groups belonging to the group in question, the field ‘offsetting group’ shall carry the value ‘All offsetting groups’.
For the purposes of providing information on an individual basis, the field ‘offsetting group’ shall carry the value ‘Single offsetting group’.

1.5 Definitions and abbreviations

For the purposes of Annex XXX and this Annex,
1. 'Internal risk transfer portfolio’ or ‘IRT portfolio’ shall mean the separate portfolio of positions referred to in Article 106(5), point (a), of Regulation (EU) No 575/2013, where the institution uses the alternative standardised approach to calculate the own funds requirements for that portfolio;
2. ‘Main ASA portfolio’ shall mean the portfolio of positions where the institution uses the alternative standardised approach to calculate the own funds requirements for that portfolio, with the exception of
  1. the positions assigned to the IRT portfolio as defined in point (a) and
  2. positions in CIUs, where the institution calculates the own funds requirements for those CIUs in accordance with Article 325j(1), point (b)(ii) of Regulation (EU) No 575/2013;
3. 'Internal risk transfer desk’ or ‘IRT desk’ shall mean a trading desk as referred to Article 106(5), point (b), of Regulation (EU) No 575/2013;
4. ‘Non-IRT desks’ shall mean all the trading desks established in accordance with Article 104b(1) of Regulation (EU) No 575/2013, other than the desk referred to in point (c) above. This also includes the separate desk or desks dedicated to positions subject to commodities and foreign exchange risk in the non-trading book established in accordance with Article 104b(5) and (6) of Regulation (EU) No 575/2013 (‘notional desks’).

Market Risk: Alternative Standardised Approach (MKR ASA)

1.1 Scope

Where information is provided at consolidated level, and there are at least two offsetting groups in the scope of consolidation, institutions shall report the information specified in this section
1. for the aggregate of all offsetting groups belonging to the group,
2. for each offsetting group that consists of more than one legal entity,
3. for each offsetting group that consists of one legal entity and meets both of the following criteria:
  1. the entity is not subject to an obligation to report the information specified in this Regulation at individual level to a competent authority of a Member State, or such an obligation existed and was waived;
  2. the entity has the permission to apply the alternative internal model approach for the calculation of own funds requirements for market risk or the own funds requirements for market risk of the entity represent 5% or more of the own funds requirements for market risk of the group.
For the purposes of the threshold specified in paragraph 3, point (c), all own funds requirements for market risk applying to the offsetting group in accordance with Part Three, Title IV, of Regulation (EU) No 575/2013 shall be considered.
For the purposes of the 5%-threshold in paragraph 3, point (c)(ii), the following entry and exit criteria shall apply:
1. Institutions shall start reporting information for the offsetting group on the next reporting reference date, where the 5% thresholds has been exceeded on two consecutive reporting reference dates;
2. Institutions may stop reporting information for the offsetting group on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.
The entry and exit criteria specified in paragraph 5 shall not apply for the AIMA criterion set out in paragraph 3, point (c)(ii).
Both for the reporting at individual and at consolidated level, offsetting groups shall be identified as specified in Part I, section 1.4 of this Annex.
Institutions shall report the information specified in this section for the following scopes of positions:
1. All institutions shall fill in the templates with regard to positions to which they apply the alternative standardised approach for market risk), (identified as ‘ASA own funds requirements for ASA positions’ (ASAnon-aima))
2. In addition, institutions applying the alternative internal model approach for market risk shall fill in the templates for the following scope of positions:
  1. Once for the portfolio of positions which they apply the alternative internal model approach (identified as ‘ASA own funds requirements for the IMA desks’ (ASAaima)) to and
  2. Once for all their positions subject to market risk (identified as ‘ASA own funds requirements for all positions (ASAall portfolio)’).

1.2 C 91.01 –Summary (MKR ASA SUM)

1.2.1 General Remarks

This template provides summary information on the calculation of own funds requirements for Market Risk in accordance with the Alternative Standardised Approach, set out in Part Three, Title IV, Chapter 1a, of Regulation (EU) No 575/2013.
Where institutions apply the Alternative Standardised Approach for market risk, they shall calculate the own funds requirements for market risk for a portfolio of trading book positions or non–trading book positions that are subject to foreign exchange or commodity risk as the sum of the following three components:
The own funds requirement under the sensitivities–based method (SBM) as set out in Part Three, Title IV, Chapter 1a, Section 2, of Regulation (EU) No 575/2013;
The own funds requirements for residual risks as set out in Part Three, Title IV, Chapter 1a, Section 4, of Regulation (EU) No 575/2013 for positions in the trading book.
The own funds requirement for the default risk as set out in Section 5 of Part Three, Title IV, Chapter 1a, of Regulation (EU) No 575/2013 for positions in the trading book.
Where information is reported at consolidated level, this template shall be filled in for the aggregate of offsetting groups and each of the offsetting groups specified in Part II, section 1.1 of this Annex, in accordance with the instructions provided in Part I, section 1.4 of this Annex.
Information shall be provided for the different scopes of positions specified in Part II, section 1.1 of this Annex.

1.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010 – 0190	Main ASA portfolio
0010 – 0150	Positions subject to the sensitivities–based method The own funds requirements calculated under the sensitivities–based method for delta, vega and curvature risks for instruments with and without optionality, as applicable, shall be reported separately and as a sum in the template. The process to calculate the risk–class specific own funds requirements shall be performed for three different scenarios per risk class, which shall be reflected in separate section of the template: - the low correlation scenario in columns 0040 to 0070; - the medium correlation scenario in columns 0080 to 0110; - the high correlation scenario in columns 0120 to 0150.
0010 – 0030	Unweighted delta sensitivities
0010	Unweighted delta sensitivities – Positive Articles 325f(3) and 325r of Regulation (EU) No 575/2013. Institutions shall calculate the sensitivity of their portfolio for each risk factor within the risk class in accordance with Article 325f (3) of Regulation (EU) No 575/2013. They shall report the sum of all positive sensitivities to delta risk factors within the risk class.
0020	Unweighted delta sensitivities – Negative Articles 325f(3) and 325r of Regulation (EU) No 575/2013. Institutions shall calculate the sensitivity of their portfolio for each risk factor within the risk class in accordance with Article 325f (3) of Regulation (EU) No 575/2013. They shall report the sum of all negative sensitivities to delta risk factors within the risk class.
0030	Unweighted delta sensitivities – Net sensitivities per risk class Institutions shall report the net sum of all positive and all negative sensitivities to the different delta risk factors within a risk class.
0040 - 0150	Own funds requirements in the different scenarios Article 325h(2) and (3) of Regulation (EU) No 575/2013 CRR
0040, 0080, 0120	Delta Risk Articles 325e(1), point (a), and Article 325f of Regulation (EU) No 575/2013. Institutions shall report the risk–class specific own funds requirement for delta risk referred to in Article 325f(8) of Regulation (EU) No 575/2013 in the applicable scenario.
0050, 0090, 0130	Vega Risk Article 325e(1), point (b), and Article 325f of Regulation (EU) No 575/2013. Institutions shall report the risk–class specific own funds requirement for vega risk referred to in Article 325f(8) of Regulation (EU) No 575/2013 under the applicable scenarios.
0060, 0100, 0140	Curvature Risk Article 325e(1), point (c), and Article 325g of Regulation (EU) No 575/2013.
0070, 0110, 0150	Total Article 325h(3) of Regulation (EU) No 575/2013. Institutions shall report the sum of the delta, vega and curvature risk class specific own funds requirements for each scenario.
0155 0157	Own funds requirements in the selected scenario Article 325h(4) of Regulation (EU) No 575/2013 CRR
0155	Delta Risk Articles 325e(1), point (a), 325f and 325h(4) of Regulation (EU) No 575/2013. Institutions shall report the risk–class specific own funds requirement for delta risk referred to in Article 325f(8) of Regulation (EU) No 575/2013 in the scenario selected in accordance with Article 325h(4) of that Regulation.
0156	Vega Risk Articles 325e(1), point (b), 325f and 325h(4) of Regulation (EU) No 575/2013. Institutions shall report the risk–class specific own funds requirement for vega risk referred to in Article 325f(8) of Regulation (EU) No 575/2013 in the scenario selected in accordance with Article 325h(4) of that Regulation (EU).
0157	Curvature Risk Articles 325e(1), point (c), 325g and 325h(4) of Regulation (EU) No 575/2013 Institutions shall report the risk–class specific own funds requirement for curvature risk referred to in Article 325g(6) of Regulation (EU) No 575/2013 in the scenario selected in accordance with Article 325h(4) of that Regulation.
0160 – 0170	Positions subject to default risk – Gross jump–to–default (JTD) amounts Institutions shall report the gross jump–to–default amounts for their exposures to non–securitisation instruments calculated in accordance with Article 325w of Regulation (EU) No 575/2013, for securitisations not included in the ACTP determined in accordance with Article 325z of that of Regulation (EU) No 575/2013, and for securitisation exposures and non–securitisation exposures included in the ACTP determined in accordance with Article 325ac of Regulation (EU) No 575/2013 with a breakdown between long and short exposures.
0160	Long
0170	Short
0180	Positions subject to residual risk – Gross notional value Article 325u of Regulation (EU) No 575/2013. Institutions shall report the gross notional amounts, as referred to in Article 325u(3) of Regulation (EU) No 575/2013, of instruments referred to in Article 325u(2) of Regulation (EU) No 575/2013 that are subject to the own funds requirement for residual risks as referred to in Article 325u, paragraphs (1) and (4), of Regulation (EU) No 575/2013.
0190	Own funds requirements for the main ASA portfolio Article 325h(4), Articles 325w to 325ad and Article 325u of Regulation (EU) No 575/2013. The own funds requirements determined in accordance with Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for positions included in the main ASA portfolio shall be reported in this column Where the own funds requirements reported in this column refer to own funds requirements calculated on the basis of the sensitivities-based method, the amounts reported in this column for the individual risk classes shall correspond to the scenario determining the own funds requirements in accordance with Article 325h(4) of Regulation (EU) No 575/2013.
0194	Own funds requirements for CIUs calculated on the basis of the mandate-based approach Article 325h(4), Articles 325w to 325ad and Article 325u of Regulation (EU) No 575/2013. Where the institution calculates the own funds requirements for a CIU in accordance with the limits set in the CIU’s mandate and in the relevant law in accordance with Article 325j(1), point (b)(ii) of Regulation (EU) No 575/2013, it shall the report own funds requirements determined in accordance with Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for such CIUs in this column. Where the own funds requirements reported in this column refer to own funds requirements calculated on the basis of the sensitivities-based method, the amounts reported in this column for the individual risk classes shall correspond to the scenario determining the own funds requirements in accordance with Article 325h(4) of Regulation (EU) No 575/2013.
0197	Own funds requirements for IRT portfolio Article 325h(4), Articles 325w to 325ad and Article 325u of Regulation (EU) No 575/2013. 'Internal risk transfer portfolio’ or 'IRT portfolio’ shall mean the positions qualifying as internal hedges for a non-trading book interest rate position, and related interest rate risk positions, assigned to a separate portfolio in accordance with Article 106(5), point (a), and (5a) of Regulation (EU) No 575/2013 The own funds requirements determined in accordance with Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for the IRT portfolio shall be reported in this column. Where the own funds requirements reported in this column refer to own funds requirements calculated on the basis of the sensitivities-based method, the amounts reported in this column for the individual risk classes shall correspond to the scenario determining the own funds requirements in accordance with Article 325h(4) of Regulation (EU) No 575/2013.
0200	Total risk exposure amount Article 92(3), point (b), of Regulation (EU) No 575/2013 and Article 92(4) of Regulation (EU) No 575/2013.


Row	Legal references and instructions
0010	Total (alternative standardised approach)
0020 – 0080	Sensitivities–based method Part Three Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013
0020	General interest rate risk (GIRR) Article 325d(1), point (i), of Regulation (EU) No 575/2013
0030	Credit spread risk for non–securitisations (CSR) Article 325d(1), point (ii), of Regulation (EU) No 575/2013
0040	Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non–ACTP CSR) Article 325d(1), point (iii), of Regulation (EU) No 575/2013
0050	ACTP CSR – Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) Article 325d(1) , point (iv), of Regulation (EU) No 575/2013
0060	Equity risk (EQU) Article 325d(1) , point (v), of Regulation (EU) No 575/2013
0070	Commodity risk (COM) Article 325d(1) , point (vi), of Regulation (EU) No 575/2013
0080	Foreign exchange risk (FX) Article 325d(1) , point (vii), of Regulation (EU) No 575/2013
0090 – 0110	Default risk Part Three, Title IV, Chapter 1a, Section 5 of Regulation (EU) No 575/2013
0090	Non–securitisations Part Three, Title IV, Chapter 1a, Section 5, Subsection 1 of Regulation (EU) No 575/2013
0100	Securitisation not included in the alternative correlation trading portfolio (non–ACTP) Part Three, Title IV, Chapter 1a, Section 5, Subsection 2 of Regulation (EU) No 575/2013
0110	Securitisation included in the alternative correlation trading portfolio (ACTP) Part Three, Title IV, Chapter 1a, Section 5, Subsection 3 of Regulation (EU) No 575/2013
0120 – 0130	Residual risk Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013
0120	Exotic underlyings Article 325u(2), point (a), of Regulation (EU) No 575/2013.
0130	Other residual risks Article 325u(2), point (b), of Regulation (EU) No 575/2013

1.3 Market Risk: Alternative Standardised Approach – Sensitivities–based method

1.3.1 General Remarks

This set of templates provide detailed information on the calculation of own funds requirements for Market Risk per risk class on the basis of the sensitivities–based method (SbM) of the Alternative Standardised Approach (ASA), set out in Part Three, Title IV, Chapter 1a, Section 2, of Regulation (EU) No 575/2013.
Institutions that have obtained the permission of their competent authority to use alternative definitions for the calculation of delta risk sensitivities in accordance with Article 325t(5) of Regulation (EU) No 575/2013 or vega risk sensitivities in accordance with Article 325t(6) of Regulation (EU) No 575/2013 shall use those alternative definitions for the reporting of this set of templates.
Institutions shall report information related to all buckets and risk factors that they are exposed to, including those buckets or risk factors where the result of the calculation of the sensitivities, curvature risk positions, or the own funds requirements in the different scenarios is zero.
Where information is reported at consolidated level, this set of templates shall be filled in for the aggregate of offsetting groups and each of the offsetting groups specified in Part II, section 1.1 of this Annex, in accordance with the instructions provided in Part I, section 1.4 of this Annex.
Information shall be provided for the different scopes of positions specified in Part II, section 1.1 of this Annex.
The information provided in this set of templates shall cover all positions that the SbM is applied to, with the exception of
Positions assigned to the IRT portfolio, as referred to in column 0197 of template C 91.00 (MKR ASA SUM) and
Positions in CIUs, where the institution calculates the own funds requirements for those CIUs in accordance with Article 325j(1), point (b)(ii) of Regulation (EU) No 575/2013, as referred to in column 0194 of template C 91.00 (MKR ASA SUM).

1.3.2 C 92.01: General interest rate risk (GIRR) (MKR SBM GIRR)

1.3.2.1 General remarks

This template provides detailed information on the calculation of own funds requirements for general interest rate risk (GIRR) in accordance with the sensitivities-based method.

1.3.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Bucket Article 325l(1) of Regulation (EU) No 575/2013. In accordance with Article 325l of Regulation (EU) No 575/2013, there shall be one bucket per currency, each containing different types of risk factors for general interest rate risk. Every row in this column shall refer to the specific currency of a single bucket. Therefore, the number of rows to be reported shall match the number of currencies an institution is exposed to for positions subject to general interest rate risk factors. The three-digit ISO code of the currency shall be reported. This is a row identifier and shall be unique for each row in the template.
0100 – 0520	Unweighted sensitivities (sk) The net sensitivities per risk factor, calculated in accordance with Articles 325l, 325r and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of that Regulation, shall be aggregated by bucket separately for delta and vega and risk and reported in the applicable columns.
0100 – 0220	Delta risk factors Articles 325e(1), point (a), 325f(1) to (5), 325l(1) to (6) and 325r(1) of Regulation (EU) No 575/2013.
0100 – 0190	Maturities Article 325l(1) of Regulation (EU) No 575/2013
0100	0.25 years
0110	0.5 years
0120	1 year
0130	2 years
0140	3 years
0150	5 years
0160	10 years
0170	15 years
0180	20 years
0190	30 years
0200	Inflation Article 325l(5), 325r(1), point (b), of Regulation (EU) No 575/2013.
0210	Cross–currency basis (over EUR) Article 325l(6), 325r(1), point (b), of Regulation (EU) No 575/2013
0220	Cross–currency basis (over USD) Article 325l(6), 325r(1), point (b), of Regulation (EU) No 575/2013
0250 - 0490	Vega risk factors: Maturities (maturity of the option – residual maturity of the underlying) Articles 325e(1), point (b), 325f(1) to (5), 325l(7) and 325s of Regulation (EU) No 575/2013 In the light of the provisions of Article 325l(7) of Regulation (EU) No 575/2013, the first maturity indicated in columns 0150 to 0390 corresponds to the maturity of the option, while the second maturity indicated is the residual maturity of the underlying.
0250	0.5 years – 0.5 years
0260	0.5 years – 1 year
0270	0.5 years – 3 years
0280	0.5 years – 5 years
0290	0.5 years – 10 years
0300	1 year – 0.5 years
0310	1 year – 1 year
0320	1 year – 3 years
0330	1 year – 5 years
0340	1 year – 10 years
0350	3 years – 0.5 years
0360	3 years – 1 year
0370	3 years – 3 years
0380	3 years – 5 years
0390	3 years – 10 years
0400	5 years – 0.5 years
0410	5 years – 1 year
0420	5 years – 3 years
0430	5 years – 5 years
0440	5 years – 10 years
0450	10 years – 0.5 years
0460	10 years – 1 year
0470	10 years – 3 years
0480	10 years – 5 years
0490	10 years – 10 years
0500	All maturities of the option– inflation
0510	All maturities of the option – cross-currency basis (over EUR)
0520	All maturities of the option– cross-currency basis (over USD)
0600 – 0610	Curvature risk positions (CVRk) Articles 325g, 325l(8) and (9), 325ax(6) and 325ay(5) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013. Institutions shall report the upward net curvature risk position () of the instruments in the currency bucket to the currency specific risk-free yield curves. The upward net curvature risk position shall be computed in accordance with Article 325g(2) of Regulation (EU) No 575/2013, taking into account the derogation of paragraph (3) of that article.
0610	Downward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position () of the instruments in the currency bucket to the currency specific risk-free yield curves. The downward net curvature risk position shall be computed in accordance with Article 325g(2) of Regulation (EU) No 575/2013, taking into account the derogation of paragraph (3) of that article.
0700 – 0710	Sum of weighted sensitivities (∑ WSk) Article 325f(8) of Regulation (EU) No 575/2013. The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0700	Delta Risk
0710	Vega Risk
0800	Sum of curvature risk positions (Sb) – Curvature Risk Article 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions () as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013.
1000 – 1080	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta, vega and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
1000 –1020	Low correlation scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
1000	Delta Risk
1010	Vega Risk
1020	Curvature Risk
1030 –1050	Medium correlation scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
1030	Delta risk
1040	Vega risk
1050	Curvature Risk
1060 – 1080	High correlation scenario Article 325h(2), point (b), of Regulation (EU) No 575/2013
1060	Delta risk
1070	Vega risk
1080	Curvature Risk

1.3.3 C 92.02: Credit spread risk for non–securitisations (CSR) (MKR SBM CSR)

1.3.3.1 General remarks

This template provides detailed information on the calculation of own funds requirements for Credit spread risk (CSR) of non–securitisations on the basis of the sensitivities-based method.

1.3.3.2 Instructions concerning specific positions


Column	Legal references and instructions
0100-0290	Unweighted sensitivities (sk) The net sensitivities per risk factor, calculated in accordance with Articles 325m, 325r and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of Regulation (EU) No 575/2013, shall be aggregated by bucket and reported separately for delta and vega risk in these columns.
0100 – 0140	Delta risk factors: Maturities Articles 325e(1), point (a), 325f(1) to (5), 325m(1) and 325r(2) of Regulation (EU) No 575/2013
0100	0.5 years
0110	1 year
0120	3 years
0130	5 years
0140	10 years
0250-0290	Vega risk factors: Maturities Articles 325e(1), point (b), 325f(1) to (5), 325m(2) and 325s(1) of Regulation (EU) No 575/2013 Institutions shall report the aggregated unweighted vega sensitivities to the implied volatilities of the underlying's issuer credit spread rates, mapped to the maturity of the option.
0250	0.5 years
0260	1 year
0270	3 years
0280	5 years
0290	10 years
0600 – 0610	Curvature risk positions (CVRk) – Curvature risk Articles 325g, 325m(3) to (4), 325ax(6), 325ay(5) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the upward net curvature risk position () of the credit spread curves included in the relevant bucket.
0610	Downward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position () of the credit spread curves included in the relevant bucket.
0700 – 0710	Sum of weighted sensitivities (∑ WSk) Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0700	Delta Risk Article 325f(8) of Regulation (EU) No 575/2013
0710	Vega Risk Article 325f(8) of Regulation (EU) No 575/2013
0800	Sum of curvature risk positions (Sb) – Curvature Risk Article 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions () as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013.
1000 – 1080	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta, vega and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
1000 –1020	Low correlation scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
1000	Delta Riskc +9
1010	Vega Risk
1020	Curvature Risk
1030 –1050	Medium correlation scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
1030	Delta Risk
1040	Vega Risk
1050	Curvature Risk
1060 – 1080	High correlation scenario Article 325h(2), point (b), of Regulation (EU) No 575/2013
1060	Delta Risk
1070	Vega Risk
1080	Curvature Risk


Row	Legal references and instructions
0010-0210	Bucket ID: Bucket Article 325ah of Regulation (EU) No 575/2013
0010	Bucket 1: All credit quality steps - Central government, including central banks, of Member States
0020	Bucket 2: Credit quality step 1 to 3 - Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118
0030	Bucket 3: Credit quality step 1 to 3 - Regional or local authority and public sector entities
0040	Bucket 4: Credit quality step 1 to 3 - Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders Where the institution makes use of the derogation of Article 325ah(3) of Regulation (EU) No 575/2013, this row shall also include the unrated covered bonds meeting the criteria specified in that paragraph.
0050	Bucket 5: Credit quality step 1 to 3 - Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
0060	Bucket 6: Credit quality step 1 to 3 - Consumer goods and services, transportation and storage, administrative and support service activities
0070	Bucket 7: Credit quality step 1 to 3 - Technology, telecommunications
0080	Bucket 8: Credit quality step 1 to 3 - Health care, utilities, professional and technical activities
0090	Bucket 9: Credit quality step 1 to 3 - Covered bonds issued by credit institutions established in Member States
0100	Bucket 10: Covered bonds issued by credit institutions in third countries
0110	Bucket 10: Covered bonds issued by credit institutions in third countries – of which: Credit quality steps 2 to 3 This row shall be used to report information on covered bonds assigned to bucket 10 which attract a 2.5% risk weight in accordance with Article 325ah(1), Table 4, of Regulation (EU) No 575/2013.
0120	Bucket 11: Credit quality step 4 to 6 and unrated - Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118
0130	Bucket 12: Credit quality step 4 to 6 and unrated - Regional or local authority and public sector entities
0140	Bucket 13: Credit quality step 4 to 6 and unrated - Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders and covered bonds
0150	Bucket 14: Credit quality step 4 to 6 and unrated - Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
0160	Bucket 15: Credit quality step 4 to 6 and unrated - Consumer goods and services, transportation and storage, administrative and support service activities
0170	Bucket 16: Credit quality step 4 to 6 and unrated - Technology, telecommunications
0180	Bucket 17: Credit quality step 4 to 6 and unrated - Health care, utilities, professional and technical activities
0190	Bucket 18: Other sector
0200	Bucket 19: Listed credit indices with a majority of its individual constituents being investment grade
0210	Bucket 20: Listed credit indices with a majority of its individual constituents being non-investment grade or unrated

1.3.4 C 92.03: Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non–ACTP CSR) (MKR SBM non–ACTP CSR)

1.3.4.1 General remarks

This template provides detailed information on the calculation of own funds requirements for the Credit spread risk of securitisation not included in the alternative correlation trading portfolio (non–ACTP CSR) on the basis of the sensitivities-based method.

1.3.4.2 Instructions concerning specific positions


Column	Legal references and instructions
0100-0290	Unweighted sensitivities (sk) The net sensitivities per risk factor, calculated in accordance with Articles 325n, 325r and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of that Regulation, shall be aggregated by bucket separately for delta and vega risk and reported in the applicable columns.
0100 – 0140	Delta risk factors: Maturities Articles 325e(1), point (a), 325f(1) to (5), 325n(5) and 325r(2) of Regulation (EU) No 575/2013
0100	0.5 years
0110	1 year
0120	3 years
0130	5 years
0140	10 years
0250 – 0290	Vega risk factors: Maturities Articles 325e(1), point (b), 325f(1) to (5), 325n(5) and 325s(1) of Regulation (EU) No 575/2013
0250	0.5 years
0260	1 year
0270	3 years
0280	5 years
0290	10 years
0600 – 0610	Curvature risk positions (CVRk) – Curvature risk Article 325g, 325n(5), 325ax(6) and 325ay(5) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the upward net curvature risk position () of the instruments in the buckets to the relevant tranche credit spread rates. The upward net curvature risk position shall be computed in accordance with Article 325g(2) of Regulation (EU) No 575/2013, taking into account the derogation of paragraph (3) of that article.
0610	Downward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position () of the instruments in the bucket to the relevant tranche credit spread rates. The downward net curvature risk position shall be computed in accordance with Article 325g(2) of Regulation (EU) No 575/2013, taking into account the derogation of paragraph (3) of that article.
0700 – 0710	Sum of weighted sensitivities (∑ WSk) Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0700	Delta Risk Article 325f(8) of Regulation (EU) No 575/2013
0710	Vega Risk Article 325f(8) of Regulation (EU) No 575/2013
0800	Sum of curvature risk positions (Sb) – Curvature Risk Article 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions () as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013.
1000 – 1080	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta, vega and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
1000 –1020	Low correlation scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
1000	Delta Risk
1010	Vega Risk
1020	Curvature Risk
1030 –1050	Medium correlation scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
1030	Delta Risk
1040	Vega Risk
1050	Curvature Risk
1060 – 1080	High correlation scenario Article 325h(2), point (b), of Regulation (EU) No 575/2013
1060	Delta Risk
1070	Vega Risk
1080	Curvature Risk


Row	Legal references and instructions
0010-0250	Bucket ID: Buckets Article 325am of Regulation (EU) No 575/2013
0010	Bucket 1: Senior and Credit quality step 1 to 10 - RMBS – Prime
0020	Bucket 2: Senior and Credit quality step 1 to 10 - RMBS – Mid-Prime
0030	Bucket 3: Senior and Credit quality step 1 to 10 - RMBS – Sub-Prime
0040	Bucket 4: Senior and Credit quality step 1 to 10 – CMBS
0050	Bucket 5: Senior and Credit quality step 1 to 10 – Asset backed securities (ABS) – Student loans
0060	Bucket 6: Senior and Credit quality step 1 to 10 - ABS - Credit cards
0070	Bucket 7: Senior and Credit quality step 1 to 10 - ABS – Auto
0080	Bucket 8: Senior and Credit quality step 1 to 10 - Collateralised loan obligations (CLO) non-ACTP
0090	Bucket 9: Non-senior and credit quality step 1 to 10 – RMBS – Prime
0100	Bucket 10: Non-senior and credit quality step 1 to 10 – RMBS - Mid-Prime
0110	Bucket 11: Non-senior and credit quality step 1 to 10 – RMBS - Sub-Prime
0120	Bucket 12: Non-senior and credit quality step 1 to 10 – CMBS
0130	Bucket 13: Non-senior and credit quality step 1 to 10 – ABS - Student loans
0140	Bucket 14: Non-senior and credit quality step 1 to 10 – ABS - Credit cards
0150	Bucket 15: Non-senior and credit quality step 1 to 10 – ABS – Auto
0160	Bucket 16: Non-senior and credit quality step 1 to 10 – CLO non-ACTP
0170	Bucket 17: Credit quality step 11 to 17 and unrated – RMBS – Prime
0180	Bucket 18: Credit quality step 11 to 17 and unrated – RMBS - Mid-Prime
0190	Bucket 19: Credit quality step 11 to 17 and unrated – RMBS - Sub-Prime
0200	Bucket 20: Credit quality step 11 to 17 and unrated – CMBS
0210	Bucket 21: Credit quality step 11 to 17 and unrated – ABS - Student loans
0220	Bucket 22: Credit quality step 11 to 17 and unrated – ABS - Credit cards
0230	Bucket 23: Credit quality step 11 to 17 and unrated – ABS – Auto
0240	Bucket 24: Credit quality step 11 to 17 and unrated – CLO non-ACTP
0250	Bucket 25: Other sector

1.3.5 C 92.04: Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) (MKR SBM ACTP CSR)

1.3.5.1 General remarks

This template provides detailed information on the calculation of own funds requirements for the Credit spread risk of securitisation included in the alternative correlation trading portfolio (ACTP CSR) on the basis of the sensitivities-based method.

1.3.5.2 Instructions concerning specific positions


Column	Legal references and instructions
0100 – 0290	Unweighted sensitivities (sk) The net sensitivities per risk factor, calculated in accordance with Articles 325n, 325r and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of Regulation (EU) No 575/2013, shall be aggregated by bucket separately for delta and vega risk and reported in the applicable columns.
0100 – 0140	Delta risk factors: Maturities Articles 325e(1), point (a), 325f(1) to (5), 325n(3) and 325r(2) of Regulation (EU) No 575/2013
0100	0.5 years
0110	1 year
0120	3 years
0130	5 years
0140	10 years
0250 – 0290	Vega risk factors: Maturities Articles 325e(1), point (b), 325f(1) to (5), Article 325n(3) and 325s of Regulation (EU) No 575/2013
0250	0.5 years
0260	1 year
0270	3 years
0280	5 years
0290	10 years
0600 – 0610	Curvature risk positions (CVRk) – Curvature risk Articles 325g, 325n(3), 325ax(6), 325ay(5) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the upward net curvature risk position () of the instruments in the bucket to the credit spread yield curves of the issuers of the underlying exposures of the securitisation positions. The upward net curvature risk position shall be computed in accordance with Article 325g(2) of Regulation (EU) No 575/2013, taking into account the derogation of paragraph (3) of that article.
0610	Downward net curvature risk position Article 325g(2) to (3) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position () of the instruments in the bucket to the credit spread yield curves of the issuers of the underlying exposures of the securitisation positions. The downward net curvature risk position shall be computed in accordance with Article 325g(2) of Regulation (EU) No 575/2013, taking into account the derogation of paragraph (3) of that article.
0700 – 0710	Sum of weighted sensitivities (∑ WSk) Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0700	Delta Risk Article 325f(8) of Regulation (EU) No 575/2013
0710	Vega Risk Article 325f(8) of Regulation (EU) No 575/2013
0800	Sum of curvature risk positions (Sb) – Curvature Risk Article 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions () as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013
1000 – 1080	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta, vega and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
1000 –1020	Low correlation scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
1000	Delta Risk
1010	Vega Risk
1020	Curvature Risk
1030 –1050	Medium correlation scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
1030	Delta Risk
1040	Vega Risk
1050	Curvature Risk
1060 – 1080	High correlation scenario Article 325h(2), point (b), of Regulation (EU) No 575/2013
1060	Delta Risk
1070	Vega Risk
1080	Curvature Risk


Row	Legal references and instructions
0010-0180	Bucket ID: Bucket Article 325ak of Regulation (EU) No 575/2013
0010	Bucket 1: All quality steps – Central government, including central banks, of Member States
0020	Bucket 2: Credit quality step 1 to 3 – Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of Regulation (EU) No 575/2013
0030	Bucket 3: Credit quality step 1 to 10 – Regional or local authority and public sector entities
0040	Bucket 4: Credit quality step 1 to 10 – Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders Where the institution makes use of the derogation of Article 325ak, third subparagraph, of Regulation (EU) No 575/2013, this row shall also include the unrated covered bonds meeting the criteria specified in that paragraph.
0050	Bucket 5: Credit quality step 1 to 10 – Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
0060	Bucket 6: Credit quality step 1 to 10 – Consumer goods and services, transportation and storage, administrative and support service activities
0070	Bucket 7: Credit quality step 1 to 10 – Technology, telecommunications
0080	Bucket 8: Credit quality step 1 to 10 – Health care, utilities, professional and technical activities
0090	Bucket 9: Credit quality step 1 to 10 – Covered bonds issued by credit institutions established in Member States
0100	Bucket 10: Credit quality step 1 to 10 – Covered bonds issued by credit institutions in third countries
0110	Bucket 11: Credit quality step 11 to 17 and unrated – Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of Regulation (EU) No 575/2013
0120	Bucket 12: Credit quality step 11 to 17 – Regional or local authority and public sector entities
0130	Bucket 13: Credit quality step 11 to 17– Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds
0140	Bucket 14: Credit quality step 11 to 17– Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
0150	Bucket 15: Credit quality step 11 to 17– Consumer goods and services, transportation and storage, administrative and support service activities
0160	Bucket 16: Credit quality step 11 to 17– Technology, telecommunications
0170	Bucket 17: Credit quality step 11 to 17– Health care, utilities, professional and technical activities
0180	Bucket 18: Other sector

1.3.6 C 92.05: Equity risk (MKR SBM EQU)

1.3.6.1 General remarks

This template provides detailed information on the calculation of own funds requirements for Equity risk (EQU) on the basis of the sensitivities-based method.

1.3.6.2 Instructions concerning specific positions


Column	Legal references and instructions
0100-0290	Unweighted sensitivities (sk) Articles 325r(3) and 325s of Regulation (EU) No 575/2013 The net sensitivities per risk factor, calculated in accordance with Articles 325o, 325r, and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of Regulation (EU) No 575/2013, shall be aggregated by bucket and reported separately for delta and vega risk in the applicable columns.
0100 – 0110	Delta risk factors Articles 325e(1), point (a), 325f(1) to (5), 325o(2) and 325r(3) of Regulation (EU) No 575/2013
0100	Spot prices
0110	Repo rates
0250-0290	Vega risk factors: Maturities Articles 325e(1), point (b), 325f(1) to (5), 325o(3) and 325s of Regulation (EU) No 575/2013 In accordance with Article 325o(3), second sentence, of Regulation (EU) No 575/2013, institutions shall only report the aggregated net unweighted sensitivities to the implied volatilities of equity spot prices, mapped to the maturity of the option, and not the sensitivities to equity repo rates.
0250	0.5 years
0260	1 year
0270	3 years
0280	5 years
0290	10 years
0600 – 0610	Curvature risk positions (CVRk) – Curvature risk Articles 325g, 325o(4) and 325ax(5) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) of Regulation (EU) No 575/2013 Institutions shall report the upward net curvature risk position () of the equity spot prices of the instruments included in the relevant bucket.
0610	Downward net curvature risk position Article 325g(2) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position () of the equity spot prices of the instruments included in the relevant bucket.
0700 – 0710	Sum of weighted sensitivities (∑ WSk) Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0700	Delta Risk Article 325f(8) of Regulation (EU) No 575/2013
0710	Vega Risk Articles 325f(8) of Regulation (EU) No 575/2013
0800	Sum of curvature risk positions (Sb) - Curvature risk Article 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions () as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013.
1000 – 1080	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta, vega and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
1000 –1020	Low correlations scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
1000	Delta Risk
1010	Vega Risk
1020	Curvature Risk
1030 –1050	Medium correlations scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
1030	Delta Risk
1040	Vega Risk
1050	Curvature Risk
1060 – 1080	High correlations scenario Article 325h(2), point (b), of Regulation (EU) No 575/2013
1060	Delta Risk
1070	Vega Risk
1080	Curvature Risk


Row	Legal references and instructions
0010 – 0130	Buckets Article 325ap(1) of Regulation (EU) No 575/2013
0010	Bucket 1: Large market capitalisation, emerging market economy – Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities
0020	Bucket 2: Large market capitalisation, emerging market economy – Telecommunications, industrials
0030	Bucket 3: Large market capitalisation, emerging market economy – Basic materials, energy, agriculture, manufacturing, mining and quarrying
0040	Bucket 4: Large market capitalisation, emerging market economy – Financials including government-backed financials, real estate activities, technology
0050	Bucket 5: Large market capitalisation, advanced economy – Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities
0060	Bucket 6: Large market capitalisation, advanced economy – Telecommunications, industrials
0070	Bucket 7: Large market capitalisation, advanced economy – Basic materials, energy, agriculture, manufacturing, mining and quarrying
0080	Bucket 8: Large market capitalisation, advanced economy – Financials including government-backed financials, real estate activities, technology
0090	Bucket 9: Small market capitalisation, emerging market economy – All sectors described under bucket numbers 1, 2, 3 and 4
0100	Bucket 10: Small market capitalisation, advanced economy – All sectors described under bucket numbers 5, 6, 7 and 8
0110	Bucket 11: Other sector
0120	Bucket 12: Large market capitalisation, advanced economy indices
0130	Bucket 13: Other indices

1.3.7 C 92.06: Commodity risk (MKR SBM COM)

1.3.7.1 General remarks

This template provides detailed information on the calculation of own funds requirements for Commodity risk (COM) on the basis of the sensitivities-based method.

1.3.7.2 Instructions concerning specific positions


Column	Legal references and instructions
0100 – 0290	Unweighted sensitivities (sk) Articles325r(4) and 325s of Regulation (EU) No 575/2013 The net sensitivities per risk factor, calculated in accordance with Articles 325p, 325r and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of that Regulation, shall be aggregated by bucket separately for delta and vega risk and reported in the applicable columns.
0100 – 0200	Delta risk factors: Maturities Articles 325e(1), point (a), 325f(1) to (5), 325p(2) and 325r(3) of Regulation (EU) No 575/2013.
0100	0 years
0110	0.25 years
0120	0.5 years
0130	1 year
0140	2 years
0150	3 years
0160	5 years
0170	10 years
0180	15 years
0190	20 years
0200	30 years
0250 – 0290	Vega risk factors: Maturities Articles 325e(1), point (b), 325f(1) to (5), 325p(3) and 325r(3) of Regulation (EU) No 575/2013.
0250	0.5 years
0260	1 year
0270	3 years
0280	5 years
0290	10 years
0600 – 0610	Curvature risk positions (CVRk) – curvature risk Articles 325g(1), (3) and (6), 325p(4) and 325ax(6) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) and (3) of Regulation (EU) No 575/2013. Institutions shall report the upward net curvature risk position ().
0610	Downward net curvature risk position Article 325g(2) and (3) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position ().
0700 – 0710	Sum of weighted sensitivities (∑ WSk) Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0700	Delta Risk Article 325f(8) of Regulation (EU) No 575/2013
0710	Vega Risk Article 325f(8) of Regulation (EU) No 575/2013
0800	Sum of curvature risk positions (Sb) – Curvature risk Articles 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions ( as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013.
0380-0460	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta, vega and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
0380-0400	Low correlation scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
0380	Delta Risk
0390	Vega Risk
0400	Curvature Risk
0410-0430	Medium correlation scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
0410	Delta Risk
0420	Vega Risk
0430	Curvature Risk
0440-0460	High correlation scenario Article 325h(2), point (b) of Regulation (EU) No 575/2013
0440	Delta Risk
0450	Vega Risk
0460	Curvature Risk


Row	Legal references and instructions
0010-0120	Bucket ID: Bucket Article 325as of Regulation (EU) No 575/2013
0010	Bucket 1: Energy — solid combustibles
0020	Bucket 2: Energy — liquid combustibles
0030	Bucket 3: Energy — electricity
0040	Bucket 3a: Energy — EU ETS carbon trading
0050	Bucket 3b: Energy – non-EU ETS carbon trading
0060	Bucket 4: Freight
0070	Bucket 5: Metals — non-precious
0080	Bucket 6: Gaseous combustibles
0090	Bucket 7: Precious metals (including gold)
0100	Bucket 8: Grains and oilseed
0110	Bucket 9: Livestock and dairy
0120	Bucket 10: Softs and other agricultural commodities
0130	Bucket 11: Other commodities

1.3.8 Foreign exchange risk (FX)

1.3.8.1 General remarks

These two templates provide detailed information on the calculation of own funds requirements for foreign exchange (FX) risk.
The reporting of information on delta and curvature risk (MKR SBM FX1) is separated from the reporting of information on vega risk (MKR SBM FX2), in order to take account of differences in the definition of the buckets and risk factors.
Institutions that have obtained permission to use the ‘base currency’ approach in accordance with Article 325q(7) of Regulation (EU) No 575/2013 shall consider the dedicated instructions on this approach included in the instructions for template MKR SBM FX1. The information in template MKR SBM FX2 is not influenced by the use of the ‘base currency’ approach.

1.3.8.2 C 92.07.1: Foreign exchange risk – Delta and curvature risk (MKR SBM FX1)

1.3.8.2.1 General remarks

This template provides information on the results of the calculation of own funds requirements for delta and curvature risk calculation within the FX risk class on the basis of the sensitivities-based method.
In accordance with Article 325q(1) of Regulation (EU) No 575/2013, there shall be one row for each bucket consisting of a currency pair.

1.3.8.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0020	Bucket: Currency pair Article 325q(1) of Regulation (EU) No 575/2013 The combination of columns 0010 and 0020 reflects the bucket or risk factor.
0010	Currency of denomination Article 325q(1) of Regulation (EU) No 575/2013 The foreign currency in which the instrument is denominated shall be reported.
0020	Reporting currency or base currency Article 325q(1) and (7) of Regulation (EU) No 575/2013 The institution’s reporting currency or, if the institution has obtained permission to use the ‘base currency’ approach of Article 325q(7) of Regulation (EU) No 575/2013, the chosen base currency shall be indicated.
0010	Unweighted sensitivities (sk)– Delta risk factors – Spot exchange rate Articles 325q(1) and 325r(5) of Regulation (EU) No 575/2013 The net sensitivity per risk factor (spot exchange rate) calculated in accordance with Articles 325q and 325r of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of that Regulation, shall be reported.
0600 – 0610	Curvature risk positions (CVRk) – Curvature Risk Article 325g(2) of Regulation (EU) No 575/2013
0600	Upward net curvature risk position Article 325g(2) of Regulation (EU) No 575/2013 Institutions shall report the upward net curvature risk position () to the spot exchange rate risk factor of the instruments in the bucket Where an institution obtained the permission to apply Article 325q(6) of Regulation (EU) No 575/2013, the value reported in this column shall be the result of the division by 1.5.
0610	Downward net curvature risk position Article 325q(3) and 325g(2) of Regulation (EU) No 575/2013 Institutions shall report the downward net curvature risk position () to the spot exchange rate risk factor of the instruments in the bucket. Where an institution obtained the permission to apply Article 325q(6) of Regulation (EU) No 575/2013, the value reported in this column shall be the result of the division by 1.5.
0700	Sum of weighted sensitivities (∑ WSk) – Delta Risk Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
0800	Sum of curvature risk positions (Sb) – Curvature Risk Article 325g(6) of Regulation (EU) No 575/2013 Institutions shall report the sum of curvature risk positions () as defined for the purposes of the aggregation across buckets in Article 325g(6) of Regulation (EU) No 575/2013. Where an institution obtained the permission to apply Article 325q(6) of Regulation (EU) No 575/2013, the value reported in this column shall take into account the division by 1.5.
1000, 1020, 1030, 1050, 1060, 1080	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for delta and curvature risks in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.
1000, 1020	Low correlation scenario Article 325h(2), point (c), of Regulation (EU) No 575/2013
1000	Delta Risk
1020	Curvature Risk
1030, 1050	Medium correlation scenario Article 325h(2), point (a), of Regulation (EU) No 575/2013
1030	Delta risk
1050	Curvature Risk
1060, 1080	High correlation scenario Article 325h(2), point (b), of Regulation (EU) No 575/2013
1060	Delta risk
1080	Curvature Risk

1.3.8.3 C 92.07.2: Foreign exchange risk – Vega risk (MKR SBM FX2)

1.3.8.3.1 General remarks

This template provides information on the results of the calculation of own funds requirements for vega risk within the FX risk class on the basis of the sensitivities-based method.
In accordance with Article 325q(2) of Regulation (EU) No 575/2013, each row reported in this template shall correspond to a specific currency pair or bucket respectively.

1.3.8.3.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0020	Bucket: Currency pair Article 325q(2) of Regulation (EU) No 575/2013 The combination of columns 0010 and 0020 reflects the bucket or risk factor. Institutions shall, as a convention, - for any currency pair including the EUR, report EUR as the first currency in column 0010; - for any currency pair including USD, with the exception of the currency pair EUR/USD, report USD as the first currency in column 0010; - for any currency pair including JPY, with the exception of the currency pairs EUR/JPY and USD/JPY, report JPY as the first currency in column 0010; - for any currency pair including GBP, with the exception of the currency pairs EUR/GBP, USD/GBP and JPY/GBP, report GBP as the first currency in column 0010; - for any other pair of two currencies not including EUR, USD, JPY and GBP, institutions shall include in column 0010 the currency code of the currency that comes first in alphabetical order, and the code of the other currency of the pair in column 0020.
0010	First currency Article 325q(2) of Regulation (EU) No 575/2013
0020	Second currency Article 325q(2) of Regulation (EU) No 575/2013
0250 – 0290	Unweighted sensitivities (sk) – Vega risk: Maturities (maturity of the option) Articles 325q and 325s of Regulation (EU) No 575/2013 The net sensitivities per risk factor, calculated in accordance with Articles 325q and 325s of Regulation (EU) No 575/2013, before the application of the corresponding risk weights set out in Part Three, Title IV, Chapter 1a, Section 6 of that Regulation, shall be aggregated by bucket and reported in the applicable columns.
0250	0.5 years
0260	1 year
0270	3 years
0280	5 years
0290	10 years
0710	Sum of weighted sensitivities (∑ WSk) - Vega risk Article 325f(8) of Regulation (EU) No 575/2013 The sum of weighted sensitivities () as defined for the purposes of the aggregation within each bucket in Article 325f(8) of Regulation (EU) No 575/2013 shall be reported.
1010, 1040, 1070	Bucket-specific sensitivities (Kb) The own funds requirements calculated on the basis of the sensitivities–based method for vega risk in each of the three scenarios referred to in Article 325h of Regulation (EU) No 575/2013 shall be reported.

1.4 C 93.00: Residual risk add–on (MKR ASA RRAO)

1.4.1 General remarks

This template provides information on the calculation of the own funds requirements for instruments exposed to residual risks (residual risk-add on, RRAO) in accordance with Part Three, Title IV, Chapter 1a, Section 4 of Regulation (EU) No 575/2013.
Where information is reported at consolidated level, this template shall be filled in for the aggregate of offsetting groups and each of the offsetting groups specified in Part II, section 1.1 of this Annex, in accordance with the instructions provided in Part I, section 1.4 of this Annex.
Information shall be provided for the different scopes of positions specified in Part II, section 1.1 of this Annex.
The information provided in this set of templates shall cover all instruments that qualify as instruments exposed residual risk, with the exception of
Instruments assigned to the IRT portfolio, as referred to in column 0197 of template C 91.00 (MKR ASA SUM) and
Instruments included in CIUs, where the institution calculates the own funds requirements for those CIUs in accordance with Article 325j(1), point (b)(ii) of Regulation (EU) No 575/2013, as referred to in column 0194 of template C 91.00 (MKR ASA SUM).

1.4.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Gross notional amounts before application of Article 325u(4) of Regulation (EU) No 575/2013 Any instrument or position meeting the criteria for being exposed to residual risk (Article 325u(2) of Regulation (EU) No 575/2013) shall be reported, including those that are specifically exempted from the own funds requirements for residual risk in accordance with Article 325u(4) of Regulation (EU) No 575/2013.
0020–0040	Gross notional amounts of instruments exempted in accordance with Article 325u(4) of Regulation (EU) No 575/2013 Article 325u(4) of Regulation (EU) No 575/2013
0020	Gross notional amounts of instruments exempted in accordance with Article 325u(4) of Regulation (EU) No 575/2013 – Listed on a recognised exchange Article 325u(4), point (a) of Regulation (EU) No 575/2013
0030	Gross notional amounts of instruments exempted in accordance with Article 325u(4) of Regulation (EU) No 575/2013 – Eligible for central clearing Article 325u(4), point (b) of Regulation (EU) No 575/2013
0040	Gross notional amounts of instruments exempted in accordance with Article 325u(4) of Regulation (EU) No 575/2013 – Perfectly offsets market risk of another trading book position Article 325u(4), point (c) of Regulation (EU) No 575/2013
0050	Gross notional amounts of instruments exempted in accordance with Article 325u(4) of Regulation (EU) No 575/2013 – Hedging position Article 325u(4), point (ca) of Regulation (EU) No 575/2013
0060	Gross notional amounts after application of Article 325u(4) of Regulation (EU) No 575/2013 Gross notional amount for instruments or positions within the scope of the RRAO which is the basis for calculating the own funds requirements in accordance with Article 325u(3) of Regulation (EU) No 575/2013
0070–0110	Gross notional amount by asset class Institutions shall allocate the gross notional amount in accordance with Article 325u(3) of Regulation (EU) No 575/2013 to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To this end, institutions shall rely on their internal risk management classifications and, following a mapping developed based on expert judgement, allocate the gross notional amount of positions within the scope of RRAO to the most appropriate risk category.
0070	Gross notional amount by asset class – Interest Rates
0080	Gross notional amount by asset class – Foreign Exchange
0090	Gross notional amount by asset class – Credit
0100	Gross notional amount by asset class – Equities
0110	Gross notional amount by asset class – Commodities
0120	Own funds requirements Own funds requirements for RRAO calculated in accordance with Article 325u(3) of Regulation (EU) No 575/2013


Row	Legal references and instructions
0010	ALL INSTRUMENTS SUBJECT TO RESIDUAL RISK Article 325u(1) of Regulation (EU) No 575/2013
0020	Instruments referencing an exotic underlying Article 325u(2), point (a), of Regulation (EU) No 575/2013
0030	Instruments referencing an exotic underlying – Future realised volatility
0040	Instruments referencing an exotic underlying – Natural disasters
0050	Instruments referencing an exotic underlying – Weather
0060	Instruments referencing an exotic underlying – Longevity risk
0070	Instruments referencing an exotic underlying – Other exotic underlyings which are not in the scope of the delta, vega or curvature risk Article 325u(2), point (a), of Regulation (EU) No 575/2013
0080	Instruments bearing other residual risks Article 325u(2), point (b), of Regulation (EU) No 575/2013
0090	Instruments bearing other residual risks – of which: Options where the pay–offs depend on the path followed by the price of the underlying asset and not just its final price on the exercise date. Such options are commonly referred to as ‘path-dependent’ options and are exposed to gap risk. Path-dependent options include, but are not limited to, Asian options, barrier options, options with auto-callable features and look-back options.
0100	Instruments bearing other residual risks – of which: Options that start at a predefined date in the future and whose strike price is not yet determined at the time at which the option is in the trading book of the institution. This type of options includes, but is not limited to, forward start options and options belonging to the cliquet family.
0110	Instruments bearing other residual risks – of which: Options whose underlying is another option Such options are commonly referred to as compound options. This comprises options of the following types: Call-on-Call, Call-on-Put, Put-on-Put and Put-on-Call.
0120	Instruments bearing other residual risks – of which: Options with discontinuous pay–offs This type of options includes, but is not limited to, digital options, which give fixed pay-offs if the underlying is below or above a certain point, and do not give any pay-offs in all other cases. Depending on the pay-offs, digital options can be of the following types: Cash-or-Nothing or Asset-or-Nothing. These options are exposed to gap risk.
0130	Instruments bearing other residual risks – of which: Options allowing the holder to modify the strike price or other terms of the contract before the maturity of the option This type of options includes, but is not limited to, shout options. Shout options include, but are not limited to, - options where the holder of the option has the flexibility to reset the strike price when it is deemed optimal to do so. - European options, where the holder has the possibility to mark the underlying’s price at one specific point in time during the life of the option. At the end of the life of the option, the holder receives either the pay-offs from the European option or the intrinsic value at the time of the shout, whichever is greater.
0140	Instruments bearing other residual risks – of which: Options that can be exercised on a finite set of predetermined dates This type of options is commonly referred to as Bermudan options. Bermudan options include, but are not limited to, Bermudan swaptions, where the holder has the right to enter into an Interest Rate Swap (IRS) on multiple dates. Cancellable swaps, where an IRS can be cancelled at predetermined dates, can be represented as an IRS with an embedded Bermudan swaption and shall also be assigned to the scope of the RRAO. Such swaptions shall be reported in this row. Bonds with multiple call dates, i.e. bonds with optionality features, where the embedded option can be exercised on more than one predetermined date, are considered instruments bearing other residual risks and shall be reported in this row.
0150	Instruments bearing other residual risks – of which: Options whose underlying is denominated in one currency, but whose pay–offs are settled in a different currency, with a predetermined exchange rate between the two currencies These options are commonly referred to as quanto options.
0160	Instruments bearing other residual risks – of which: Multi–underlying options The different types of multi-underlying options reported in this row include, but are not limited to: - basket options: options whose pay-offs are dependent on the value of a portfolio of underlyings; - best-of and worst-of options: options where the pay-offs depend on the value of the best or the worst performing underlying among a number of predefined underlyings; - spread options: options where the pay-offs depend on the difference in price between two or more underlyings.
0170	Instruments bearing other residual risks – of which: Options subject to behavioural risk Options subject to behavioural risk shall mean any option whose value depends on the behaviour of agents and therefore may be affected by factors other than pure financial gain, including, but not limited to the remaining maturity and size of the loan, demographical features and/or other social factors. Options subject to behavioural risk shall be included in this row if they meet the conditions stipulated in the Annex to Commission Delegated Regulation (EU) 2022/2328[2].
0180	Instruments bearing other residual risks – of which: Options that do not have a maturity Article 325s(2) of Regulation (EU) No 575/2013
0190	Instruments bearing other residual risks – of which: Options that do not have a strike or barrier and options that have multiple strikes or barriers Article 325s(3) of Regulation (EU) No 575/2013
0200	Instruments bearing other residual risks – of which: Other instruments exposed to residual risk Instruments which meet the criteria for inclusion in the scope of the RRAO in accordance with Article 325u(2), point (b), of Regulation (EU) No 575/2013, but cannot be allocated to any of the categories specified in rows 0090 to 0190.

1.5 Default risk charge (MKR ASA DRC)

1.5.1 General remarks

Where information is reported at consolidated level, this group of templates shall be filled in for the aggregate of offsetting groups and each of the offsetting groups specified in Part II, section 1.1 of this Annex in accordance with the instructions provided in Part I, section 1.4 of this Annex.
Information shall be provided for the different scopes of positions specified in Part II, section 1.1 of this Annex.
The information provided in this set of templates shall cover all instruments that are subject to own funds requirements for default risk, with the exception of
Instruments assigned to the IRT portfolio, as referred to in column 0197 of template C 91.00 (MKR ASA SUM) and
Instruments included in CIUs, where the institution calculates the own funds requirements for those CIUs in accordance with Article 325j(1), point (b)(ii) of Regulation (EU) No 575/2013, as referred to in column 0194 of template C 91.00 (MKR ASA SUM).

1.5.2 C 94.01: Default risk charge – instruments other than securitisations, not included in the alternative correlation trading portfolio (MKR ASA DRC1)

1.5.2.1 General remarks

This template shall be used to report information on exposures subject to the own funds requirements for the default risk for non-securitisations (Articles 325w to 325y of Regulation (EU) No 575/2013).
For the purposes of the breakdown by the type of instrument and prudential treatment, exposures that meet the criteria to be included in more than one row, shall be allocated to a specific row based on the following criteria:
1. If the exposure is created by a derivatives instrument treated in accordance with Article 325w(7) of Regulation (EU) No 575/2013, it shall be allocated to rows 0100, 0200 or 0300, as applicable;
2. Where the criterion in point (a) is not met, and the exposure is created by a derivatives instrument, it shall be allocated based on its underlying to rows 0050 to 0070, 0090, 0150 to 0170, 0190,0250 to 0270 or 0290, as applicable.
3. Where neither the criterion in point (a) is met, nor the criterion in point (b), the instrument shall be reported in rows 0020 to 0040, 0080, 0120 to 0140, 0180, 0220 to 0240 or 0280, as applicable.

1.5.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010- 0020	Gross JTD amounts Article 325w of Regulation (EU) No 575/2013.
0010	Long
0020	Short
0030-0220	Net JTD amounts (not risk-weighted) Article 325x of Regulation (EU) No 575/2013 Net JTD amounts calculated in accordance with Article 325x of Regulation (EU) No 575/2013 shall be reported. They shall be broken down between net long JTD amounts and net short JTD amounts, and they shall be allocated to the column corresponding to the credit quality step which they are mapped to in accordance with Article 325y of Regulation (EU) No 575/2013. The amounts reported shall be the net JTD amounts before the application of any risk weights.
0030-0120	Net JTDlong amounts (not risk-weighted)
0130-0220	Net JTDshort amounts (not risk-weighted)
0230	Weighted to Short ratio (WtS) Article 325y(4) of Regulation (EU) No 575/2013.
0240	Own funds requirements Bucket-level own funds requirements calculated in accordance with Article 325y(4) of Regulation (EU) No 575/2013


Row	Legal references and instructions
0010-0100	Corporates Exposures allocated to the corporates bucket in accordance with Article 325y(3) of Regulation (EU) No 575/2013 shall be reported.
0020-0040	Debt instruments Articles 325v(2), 325w(3) of Regulation (EU) No 575/2013. Exposures in the form of debt instruments identified in accordance with Article 325v(2) of Regulation (EU) No 575/2013, shall be reported. They shall be broken down differentiating between senior debt instruments, non-senior debt instruments and covered bonds, consistently with the classification made for the purposes of Article 325w(3) of Regulation (EU) No 575/2013.
0020	Non-Senior
0030	Senior
0040	Covered Bonds
0050-0070	Derivatives having debt instruments as underlyings Articles 325v(2), 325w(3) of Regulation (EU) No 575/2013. Exposures stemming from derivatives having debt instruments as underlying, identified in accordance with Article 325v(2) of Regulation (EU) No 575/2013, shall be reported. They shall be broken down based on the underlying debt instrument, differentiating between underlyings that are senior debt instruments, non-senior debt instruments, and covered bonds, consistently with the classification made for the purposes of Article 325w(3) of Regulation (EU) No 575/2013.
0050	Non-Senior
0060	Senior
0070	Covered Bonds
0080	Equity instruments Exposures to equity instruments identified in accordance with Article 325v(2) of Regulation (EU) No 575/2013 shall be reported.
0090	Derivatives having equity instruments as underlyings Exposures stemming from derivatives having equity instruments as underlying identified in accordance with Article 325v(2) of Regulation (EU) No 575/2013 shall be reported.
0100	Derivative instruments treated in accordance with Article 325w(7) of Regulation (EU) No 575/2013 Article 325w(7) of Regulation (EU) No 575/2013.
0110-0200	Sovereigns Exposures allocated to the sovereigns bucket in accordance with Article 325y(3) of Regulation (EU) No 575/2013 shall be reported.
0120-0140	Debt instruments See instructions on rows 0020 to 0040
0120	Non-Senior
0130	Senior
0140	Covered Bonds
0150-0170	Derivatives having debt instruments as underlyings See instructions on rows 0050 to 0070
0150	Non-Senior
0160	Senior
0170	Covered Bonds
0180	Equity instruments See instructions on row 0080
0190	Derivatives having equity instruments as underlyings See instructions on row 0090
0200	Derivative instruments treated in accordance with Article 325w(7) of Regulation (EU) No 575/2013 See instructions on row 0100
0210-0300	Local governments / municipalities Exposures allocated to the local governments/municipalities bucket in accordance with Article 325y(3) of Regulation (EU) No 575/2013
0220-0240	Debt instruments See instructions on rows 0020 to 0040
0220	Non-Senior
0230	Senior
0240	Covered Bonds
0250-0270	Derivatives having debt instruments as underlyings See instructions on rows 0050 to 0070
0250	Non-Senior
0260	Senior
0270	Covered Bonds
0280	Equity instruments See instructions on row 0080
0290	Derivatives having equity instruments as underlyings See instructions on row 0090
0300	Derivative instruments treated in accordance with Article 325w(7) of Regulation (EU) No 575/2013 See instructions on row 0100

1.5.3 C 94.02: Default risk charge – securitisations, not included in the alternative correlation trading portfolio (non–ACTP) (MKR ASA DRC2)

1.5.3.1 General remarks

This template shall be used to report information on exposures in scope of the own funds requirements for the default risk for securitisations not included in the ACTP (Article 325z to Article 325aa of Regulation (EU) No 575/2013).

1.5.3.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0020	Gross JTD amounts Article 325z(1) of Regulation (EU) No 575/2013.
0010	Long
0020	Short
0030-0400	Net JTD amounts (not risk-weighted) Net JTD amounts calculated in accordance with Article 325z of Regulation (EU) No 575/2013 shall be reported. They shall be broken down between net long JTD amounts and net short JTD amounts, and they shall be allocated to one of the risk weight bands indicated in the template on the basis of the risk weight assigned to the net JTD amount in accordance with Article 325aa(1) of Regulation (EU) No 575/2013. The amounts reported shall be the net JTD amounts before the application of any risk weights.
0030-0210	Net long JTD amounts (not risk-weighted)
0220-0400	Net short JTD amounts (not risk-weighted)
0410	Weighted-to-Short ratio (WtS) Article 325aa of Regulation (EU) No 575/2013 in conjunction with Article 325y(4) thereof.
0420	Own funds requirement Bucket-level own funds requirement calculated in accordance with Articles 325aa(6) in conjunction with Article 325y(4) of Regulation (EU) No 575/2013.


Row	Legal references and instructions
0010-0450	Buckets Article 325aa(4) and (5) of Regulation (EU) No 575/2013
0010	All regions – Corporates
0020	Asia – ABCP
0030	Asia – Auto Loans/Leases
0040	Asia – Residential mortgage–backed securities (RMBS)
0050	Asia – Credit cards
0060	Asia – Commercial mortgage–backed securities (CMBS)
0070	Asia – Collateralised loan obligations (CLOs)
0080	Asia – Collateralised debt obligations squared (CDO–squared)
0090	Asia – Small and medium–sized enterprises (SMEs)
0100	Asia – Student Loans
0110	Asia – Other Retail
0120	Asia – Other Wholesale
0130	Europe – ABCP
0140	Europe – Auto Loans/Leases
0150	Europe – Residential mortgage–backed securities (RMBS)
0160	Europe – Credit cards
0170	Europe – Commercial mortgage–backed securities (CMBS)
0180	Europe – Collateralised loan obligations (CLOs)
0190	Europe – Collateralised debt obligations squared (CDO–squared)
0200	Europe – Small and medium–sized enterprises (SMEs)
0210	Europe – Student Loans
0220	Europe – Other Retail
0230	Europe – Other Wholesale
0240	North America – ABCP
0250	North America – Auto Loans/Leases
0260	North America – Residential mortgage–backed securities (RMBS)
0270	North America – Credit cards
0280	North America – Commercial mortgage–backed securities (CMBS)
0290	North America – Collateralised loan obligations (CLOs)
0300	North America – Collateralised debt obligations squared (CDO–squared)
0310	North America – Small and medium–sized enterprises (SMEs)
0320	North America – Student Loans
0330	North America – Other Retail
0340	North America – Other Wholesale
0350	Rest of the World – ABCP
0360	Rest of the World – Auto Loans/Leases
0370	Rest of the World – Residential mortgage–backed securities (RMBS)
0380	Rest of the World – Credit cards
0390	Rest of the World – Commercial mortgage–backed securities (CMBS)
0400	Rest of the World – Collateralised loan obligations (CLOs)
0410	Rest of the World – Collateralised debt obligations squared (CDO–squared)
0420	Rest of the World – Small and medium–sized enterprises (SMEs)
0430	Rest of the World – Student Loans
0440	Rest of the World – Other Retail
0450	Rest of the World – Other Wholesale

1.5.4 C 94.03: Default risk charge – instruments included in the alternative correlation trading portfolio (MKR ASA DRC3)

1.5.4.1 General remarks

This template shall be used to report institution’s exposures in scope of the own funds requirements for the default risk for securitisations included in the ACTP (Article 325ab to Article 325ad of Regulation (EU) No 575/2013).

1.5.4.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Bucket (Index) Name of the index (bucket) to which exposures are assigned in accordance with Article 325ad(2) of Regulation (EU) No 575/2013.
0020	Bucket (index) description A description of the index (bucket), comprising at least information on the constituents of the index and their main features, and the sectors and geographical areas covered by the index.
0030-0240	Non-tranched products
0030-0040	Gross JTD amounts Article 325ac(2) of Regulation (EU) No 575/2013
0030	Long
0040	Short
0050-0240	Net JTD amounts (not risk-weighted) Net JTD amounts of non-tranched products calculated in accordance with Article 325ac of Regulation (EU) No 575/2013 shall be reported. They shall be broken down between net long JTD amounts and net short JTD amounts, and they shall be allocated to the credit quality category to which they are mapped to in accordance with Article 325ad(1), point (a), of Regulation (EU) No 575/2013. The amounts reported shall be the net JTD amounts before the application of any risk weights.
0050-0140	Net long JTD amounts (not risk-weighted)
0060	0% risk weight
0070	CQS1
0080	CQS2
0090	CQS3
0100	CQS4
0110	CQS5
0120	CQS6
0130	Unrated
0140	Defaulted
0150-0240	Net short JTD amounts (not risk-weighted)
0160	0% risk weight
0170	CQS1
0180	CQS2
0190	CQS3
0200	CQS4
0210	CQS5
0220	CQS6
0230	Unrated
0240	Defaulted
0250-0500	Tranched products
0250-0260	Gross JTD amounts Article 325ac(2) of Regulation (EU) No 575/2013
0250	Long
0260	Short
0270-0500	Net JTD amounts (not risk-weighted) Net JTD amounts of tranched products calculated in accordance with Article 325ac of Regulation (EU) No 575/2013. They shall be broken down between net long JTD amounts and net short JTD amounts, and they shall be allocated to the risk weight band that includes the risk weight assigned in accordance with Article 325ad(1), point (b), of Regulation (EU) No 575/2013. The amounts reported shall be the net JTD amounts before the application of any risk weights.
0270-0380	Net long JTD amounts (not risk-weighted)
0280	[0 - 10%[
0290	[10 - 12%[
0300	[12 - 20%[
0310	[20 - 40%[
0320	[40 - 100%[
0330	[100 - 250%[
0340	[250 - 350%[
0350	[350 - 425%[
0360	[425 - 650%[
0370	[650 – 1 250%[
0380	1 250%
0390-0500	Net short JTD amounts (not risk-weighted)
0400	[0 - 10%[
0410	[10 - 12%[
0420	[12 - 20%[
0430	[20 - 40%[
0440	[40 - 100%[
0450	[100 - 250%[
0460	[250 - 350%[
0470	[350 - 425%[
0480	[425 - 650%[
0490	[650 – 1 250%[
0500	1 250%
0510	Weighted to Short ACTP ratio Weighted-to-Short ratio of the ACTP () calculated in accordance with Article 325ad(3) of Regulation (EU) No 575/2013
0520	Own funds requirement Bucket-level own funds requirement calculated in accordance with Article 325ad(3) of Regulation (EU) No 575/2013.

Market risk – Alternative internal model approach (MKR AIMA)

2.1 Scope

Where information is provided at consolidated level, and there are at least two offsetting groups in the scope of consolidation, institutions shall report the information specified in this section, with the exception of the information specified in templates C 96.01.2 (SP), C 96.04.2 (BTTD), and C 97.00 (TDS),
1. for the aggregate of all offsetting groups belonging to the group,
2. where there are entities that have obtained the permission to apply the AIMA in at least two offsetting groups, for each offsetting group that includes such an entity.
Where information is provided at consolidated level, and there are at least two offsetting groups in the scope of consolidation, institutions shall report the information specified in templates C 96.01.2 (SP), C 96.04.2 (BTTD) and C 97.00 (TDS) only once for the aggregate of all offsetting groups belonging to the group. That information shall cover all trading desks established by the institution, irrespective of the offsetting group that the desk belongs to.
Both for the reporting at individual and at consolidated level, offsetting groups shall be identified as specified in Part I, section 1.4 of this Annex.

2.2 C 95.00: Summary of own funds requirements (MKR AIMA SUM)

2.2.1 General remarks

This template provides summary information on the calculation of own funds requirements for Market Risk in accordance with the Alternative Internal Model approach, set out in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013.

2.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0065	Modellable risk factors: Expected shortfall measure
0010	Previous day’s risk measure (ESt-1) Article 325ba(1), point (a)(i), of Regulation (EU) No 575/2013
0020	Average of daily risk measure over the preceding 60 business days (ESavg ∙ mc) Article 325ba(1), point (b)(i), of Regulation (EU) No 575/2013
0030	Multiplier mc Article 325bf(6) of Regulation (EU) No 575/2013, Article 101(1) of Directive 2013/36/EU Where the competent authority imposes higher multiplication factors in accordance with Article 325bf(6) of Regulation (EU) No 575/2013 or as part of its ongoing review of the internal models in accordance with the national implementation of Article 101 of Directive 2013/36/EU or in accordance with other national legislation, the higher multiplication factor shall be reflected in this cell.
0040	mc – of which: quantitative add-on (back-testing) Article 325bf(6) of Regulation (EU) No 575/2013
0050	mc – of which: qualitative add-on The add-on to the multiplication factor of Article 325bf(6) of Regulation (EU) No 575/2013, other than the add-on between 0 and 0,5 applied in accordance with Table 3 of that article, imposed by the competent authority in accordance with Article 325bf(6) of Regulation (EU) No 575/2013 or as part of the ongoing review of internal models the national implementation of Article 101 of Directive 2013/36/EU or other national legislation shall be reported.
0060	Memorandum item: Number of overshootings Article 325bf(6), first subparagraph, point (b), of Regulation (EU) No 575/2013 The number of overshootings reported in this cell shall be the number used for the determination of the quantitative add-on in accordance with Table 3 of Article 325bf(6) of Regulation (EU) No 575/2013. Overshootings that are excluded with the permission of the competent authority shall not be included.
0065	Memorandum item: Recognition of extraordinary circumstances Article 325bf(6), second subparagraph, of Regulation (EU) No 575/2013 Where the competent authority allowed institutions to limit the add-on to that resulting from overshootings under back-testing hypothetical changes in accordance with Article 325bf(6), second subparagraph, of Regulation (EU) No 575/2013, the institution shall indicate ’Extraordinary circumstances recognised’. Where no permission in accordance with Article 325bf(6), second subparagraph, of Regulation (EU) No 575/2013 was granted, institutions shall indicate ‘No recognition of extraordinary circumstances’.
0070-0080	Non-modellable risk factors: Stress scenario risk measure
0070	Previous day’s risk measure (SSt-1) Article 325ba(1), point (a)(ii), of Regulation (EU) No 575/2013
0080	Average of daily risk measure over the preceding 60 business days (SSavg) Article 325ba(1), point (b)(ii), of Regulation (EU) No 575/2013
0090-0100	Default risk
0090	Most recent own funds requirements for default risk Article 325ba(2), point (a), of Regulation (EU) No 575/2013
0100	Average own funds requirement for default risk over the preceding 12 weeks Article 325ba(2), point (b), of Regulation (EU) No 575/2013
0110	*AIMA own funds requirements for AIMA desks (AIMA)* Article 10(1) of Commission Delegated Regulation (EU) 2022/2059[3]
0120	ASA own funds requirements for AIMA desks (portfolio view) () Article 10(1) of Delegated Regulation (EU) 2022/2059
0130-0160	Calculation of PLAadd on
0130	ASA own funds requirements for yellow IMA desks () Article 10(2) of Delegated Regulation (EU) 2022/2059
0140	ASA own funds requirements for all AIMA desks (desk by desk) () Article 10(2) of Delegated Regulation (EU) 2022/2059
0150	k-coefficient () Article 10(2) of Delegated Regulation (EU) 2022/2059
0160	Article 325ba(3) of Regulation (EU) No 575/2013 in conjunction with Article 10(1) of Delegated Regulation (EU) 2022/2059
0170	ASA own funds requirements for ASA desks () Article 325ba(3) of Regulation (EU) No 575/2013
0180	ASA own funds requirements for all desks () Article 325ba(3) of Regulation (EU) No 575/2013
0190	Own funds requirements for the on- and off-balance sheet business subject to market risk () Article 325ba(3) of Regulation (EU) No 575/2013
0200	Total risk exposure amount Article 92(7), point (b), of Regulation (EU) No 575/2013 Result of the multiplication of the own funds requirements by 12,5.


Row	Legal references and instructions
0010	Non-IRT desks / ASA portfolio The information provided in this row shall cover, as applicable for the different columns, - The positions assigned to the non-IRT desks that are considered in the calculation of as of the reference date (all columns except c0170) - The portfolio of positions considered in the calculation of as of the reference date (‘ASA portfolio’) (c0170 to c0200)
0020	IRT desk Article 106(5), point (b), and (5b) of Regulation (EU) No 575/2013

2.3 Risk factor eligibility test and stress periods for the calculation of the risk measures

2.3.1 C 96.01.1: Risk factor eligibility test (MKR AIMA RFET)

2.3.1.1 General remarks

The template MKR AIMA RFET shall be used to provide information on the outcome of the risk factor eligibility test (RFET) performed in accordance with Article 325be of Regulation (EU) No 575/20213 in conjunction with Commission Delegated Regulation (EU) 2022/2060[4].
The information provided in this template shall reflect the results of the RFET with regard to both risk factors affecting the positions assigned to the non-IRT desks and risk factors affecting the positions assigned to the IRT desk.
The information provided in this template shall reflect the results of the RFET that are taken into consideration in the calculation of as of the reference date.

2.3.1.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0130	Results of the risk factor eligibility test (RFET) considered in the calculation of as of the reference date (non-IRT and IRT desks)
0010-0040	Modellable risk factors (MRF) Information on risk factors that are considered modellable on the basis of the assessment made in accordance with Article 325be of Regulation (EU) No 575/2013 in conjunction with Delegated Regulation (EU) 2022/2060
0010-0020	Risk factor eligibility test (RFET) at risk factor level
0010	Number of risk factors: Parameter for curve, surface or cube Article 6 of Delegated Regulation (EU) 2022/2060
0020	Number of risk factors: Not parameter for curve, surface or cube Article 1 of Delegated Regulation (EU) 2022/2060
0030	RFET at bucket level: Number of buckets Article 4 and 5 of Delegated Regulation (EU) 2022/2060
0040	Total number of modellable risk factors The number reported in this column shall be the number of the risk factors considered modellable in accordance with Articles 1 and 6 of Delegated Regulation (EU) 2022/2060, plus the number of buckets, where the assessment was made in accordance with Article 4 and 5 of that Regulation.
0050-0130	Non-modellable risk factors (NMRF) Information on risk factors that are considered non-modellable on the basis of the assessment made in accordance with Article 325be of Regulation (EU) No 575/2013 in conjunction with Delegated Regulation (EU) 2022/2060
0050-0060	RFET at risk factor level – Number of risk factors
0050	Parameter for curve, surface or cube Article 6 of Delegated Regulation (EU) 2022/2060
0060	Not parameter for curve, surface or cube Article 1 of Delegated Regulation (EU) 2022/2060
0070	RFET at bucket level – Number of buckets Article 4 and 5 of Delegated Regulation (EU) 2022/2060
0080	Total number of non-modellable risk factors The number reported in this column shall be the number of the risk factors considered non-modellable in accordance with Articles 1 and 6 of Delegated Regulation (EU) 2022/2060, plus the number of buckets, where the assessment was made in accordance with Article 4 of that Regulation.
0090-0120	Number of real price observations (RPOs) for risk factors in the risk class Information about the availability of RPOs shall be provided as follows: - Where the assessment of the ability to model is done at risk factor level, the RPOs available for the risk factor shall be considered; - Where the assessment of the ability to model is done at bucket level in accordance with Article 4 of Delegated Regulation (EU) 2022/2060, the RPOs available for any risk factor in the bucket shall be considered; - The first quartile, median, average and third quartile of RPOs shall be determined across all the NMRFs in the respective sub-category.
0090	First quartile
0100	Median
0110	Average
0120	Third quartile
0130	Average longest period between two RPOs for the risk factors in the risk class (in days) For each risk factor, where the assessment of the ability to model is done at risk factor level, and every bucket of risk factors, where the assessment of the ability to model is done at bucket level, the longest period between two RPOs shall be determined (in days). The average shall be determined across all the NMRFs in the respective sub-category.


Row	Legal references and instructions
0010-0330	Broad categories and sub-categories of risk factors Article 325bd, Table 2, of Regulation (EU) No 575/2013
0010	Interest rate risk
0020	Interest rate risk – Most liquid currencies and domestic currency
0030	Interest rate risk – Other currencies
0040	Interest rate risk – Volatility
0050	Interest rate risk – Other types
0060	Credit spread risk
0070	Credit spread risk – Central government, including central banks, of Member States
0080	Credit spread risk – Covered bonds issued by credit institutions in Member States (Investment Grade)
0090	Credit spread risk – Sovereign (Investment grade)
0100	Credit spread risk – Sovereign (High yield)
0110	Credit spread risk – Corporate (Investment grade)
0120	Credit spread risk – Corporate (High yield)
0130	Credit spread risk – Volatility
0140	Credit spread risk – Other types
0150	Equity risk
0160	Equity risk – Equity price (Large market capitalisation)
0170	Equity risk – Equity price (Small market capitalisation)
0180	Equity risk – Volatility (Large market capitalisation)
0190	Equity risk – Volatility (Small market capitalisation)
0200	Equity risk – Other types
0210	Foreign exchange risk
0220	Foreign exchange risk – Most liquid currency pairs
0230	Foreign exchange risk – Other currency pairs
0240	Foreign exchange risk – Volatility
0250	Foreign exchange risk – Other types
0260	Commodity risk
0270	Commodity risk – Energy price and carbon emissions price
0280	Commodity risk – Precious metal price and non-ferrous metal price
0290	Commodity risk – Other commodity prices
0300	Commodity risk – Energy volatility and carbon emissions volatility
0310	Commodity risk – Precious metal volatility and non-ferrous metal volatility
0320	Commodity risk – Other commodity volatilities
0330	Commodity risk – Other types

2.3.2 C 96.01.2: Stress periods for the calculation of the risk measures (MKR AIMA SP)

2.3.2.1 General remarks

The template MKR AIMA SP shall be used to provide information on the stress periods taken into account for the calculation of the different elements of the expected shortfall and stress scenario risk measures.
The information provided in this template shall cover information on all applicable stress periods selected for positions assigned to non-IRT desks, and information on the certain applicable stress periods selected for positions assigned to the IRT desk.

2.3.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010 – 0060	Stress period considered in the calculation of (non-IRT desks and IRT desk)
0010-0040	Stress period considered for calculations as of the reference date Article 325bc(2), point (c) of Regulation (EU) No 575/2013, Article 8 of [RTS on SSRM][5] Institutions shall provide information on the continuous 12-month period (stress period) that they use in the calculation of the expected shortfall and stress scenario risk measures, respectively, as of the reference date.
0010	Stress period considered for calculations as of the reference date – Start date Institutions shall indicate the date corresponding to the first day of the stress period taken into account in the calculation of the expected shortfall and stress scenario risk measures, respectively.
0020	Stress period considered for calculations as of the reference date – End date Institutions shall indicate the date corresponding to the last day of the stress period taken into account in the calculation of the expected shortfall and stress scenario risk measures, respectively.
0030	Stress period considered for calculations as of the reference date – Number of business days Institutions shall indicate the number of business days in the selected stress period.
0040	Stress period considered for calculations as of the reference date – First date as of which the stress period was used in the calculation of the risk measures Article 325bc(2), point (c), of Regulation (EU) No 575/2013, Article 8(4) of [RTS on SSRM] Institutions shall indicate the date corresponding to the first day of the three months period ending with the reference date (reference period) where they took the same stress period into account for the calculation of the expected shortfall and stress scenario risk measures, respectively, as they did on the reference date.
0050	Number of reviews of the stress period during the reference period Article 325bc(2), point (c), of Regulation (EU) No 575/2013 , Article 8(4) of [RTS on SSRM] Institutions shall indicate the number of times they reviewed the selection of the stress period taken into account in the calculation of the expected shortfall and stress scenario risk measures, respectively, during the reference period. Institutions shall report a zero, where the respective stress period was not reviewed during the reference period.
0060	Comments Institutions may provide further information on the stress periods selected for the calculation of the expected shortfall and stress scenario risk measures, respectively, and explain any of the information provided in columns 0010 to 0050.


Row	Legal references and instructions
0010 – 0060	Positions assigned to non-IRT desks
0010	Expected shortfall measure – All modellable risk factors
0020 – 0060	Stress scenario risk measure
0020	Interest rate
0030	Credit spread
0040	Equity
0050	Foreign exchange
0060	Commodity
0110 – 0120	Positions assigned to IRT desk Where the institution has established a separate IRT desk, information shall be reported in these rows, even if the stress periods selected are identical to the ones for positions assigned to non-IRT desks. Where the institution has not established a separate IRT desk, it shall leave these rows empty.
0110	Expected shortfall measure – All modellable risk factors
0120	Stress scenario risk measure – Interest rate

2.4 C 96.02: Daily risk measures (MKR AIMA DRM)

2.4.1 General remarks

The template MKR AIMA DRM shall be used to provide information on the daily expected shortfall risk measure and the daily stress scenario risk measure, calculated in accordance with Articles 325bb of Regulation (EU) No 575/2013, as well as the most recent default risk charge, calculated on a weekly basis or more frequently in accordance with Article 325bn of that Regulation.
The information provided in this template shall cover, separately, positions assigned to the non-IRT desks and the IRT desk, where those positions are considered in the calculation of as of the date.
The information provided in this template shall cover the three-month period ending with the reference date of the report (reference period).
The date t reported in column 0010 of this template serves as row identifier and shall be unique for every row in the template.

2.4.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Date (t) Institutions shall provide data for any business day in the quarter the report refers to, where at least one of the measures is calculated. This is a row identifier which shall be unique for each row in the template.
0020 – 0070	Instruments and positions considered in the calculation of
0020 – 0040	Non-IRT desks
0020	Expected shortfall risk measure (ESt) Article 325ba(1), point (a)(i), of Regulation (EU) No 575/2013
0030	Stress scenario risk measure (SSt) Article 325ba(1), point (a)(ii), of Regulation (EU) No 575/2013
0040	Default risk charge (DRCt) Article 325ba(2), point (a), of Regulation (EU) No 575/2013
0120 – 0140	IRT desk Articles 106(5), point (b), of Regulation (EU) No 575/2013
0120	Expected shortfall risk measure (ESt) Article 325ba(1), point (a)(i), of Regulation (EU) No 575/2013
0130	Stress scenario risk measure (SSt) Article 325ba(1), point (a)(ii), of Regulation (EU) No 575/2013
0140	Default risk charge (DRCt) Article 325ba(2), point (a), of Regulation (EU) No 575/2013

2.5 C 96.03: Partial expected shortfalls (MKR AIMA PES)

2.5.1 General remarks

The template MKR AIMA ES shall be used to provide day-by-day information on certain inputs to the calculation of the expected shortfall risk measure in accordance with Article 325bb of Regulation (EU) No 575/2013.
The information provided in this template shall cover the positions assigned to the non-IRT desks, where those positions are considered in the calculation of as of the date.
The information provided in this template shall cover the three-month period ending with the reference date of the report (reference period).
The combination of the broad category of risk factors (column 0010) and the date t (column 0020) serves as row identifier and shall be unique for every row in the template.

2.5.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Date (t) Institutions shall provide data for any business day in the quarter the report refers to, where the measures are calculated.
0020	Category of risk factors included in calculation Articles 325bb and 325bd, Table 2, first column, of Regulation (EU) No 575/2013 The value reported shall be one of the following ones: - Risk factors of all broad categories of market risk This value shall be used, where a risk measure is calculated at the level of the overall portfolio, and not at the level of a broad risk factor category - Risk factors of the interest rate risk category - Risk factors of the credit spread risk category - Risk factors of the equity risk category - Risk factors of the foreign exchange risk category - Risk factors of the commodity risk category
0030-0100	Positions considered in the calculation of : Inputs to the calculation of the expected shortfall measure
0030-0080	Partial expected shortfall measures Article 325bb and 325bc of Regulation (EU) No 575/2013
0030-0040	Reduced set of risk factors – Current scenario (RC) Articles 325bb and 325bc(1) and (3) of Regulation (EU) No 575/2013
0030	Reduced set of risk factors – Current scenario (RC): PESt(T)
0040	Reduced set of risk factors – Current scenario (RC): PESt
0130-0140	Full set of risk factors – Current scenario (FC) Articles 325bb and 325bc(1) and (4) of Regulation (EU) No 575/2013
0130	Full set of risk factors – Current scenario (FC): PESt(T)
0140	Full set of risk factors – Current scenario (FC): PESt
0230-0240	Reduced set of risk factors – Stressed scenario (RS) Articles 325bb and 325bc(1) and (2) of Regulation (EU) No 575/2013
0230	Reduced set of risk factors – Stressed scenario (RS): PESt(T)
0240	Reduced set of risk factors – Stressed scenario (RS): PESt
0300	PEStFC/PEStRC Articles 325bb and 325bc of Regulation (EU) No 575/2013
0400	Unconstrained expected shortfall (UESt) Articles 325bb and 325bc of Regulation (EU) No 575/2013

2.6 Back-testing and profit and loss attribution test

2.6.1 C 96.04.1: Back-testing at institution level (MKR AIMA BTI)

2.6.1.1 General remarks

The template MKR AIMA BTI shall be used to provide information on the results of the back-testing at institution level, which are considered for the determination of the quantitative add-on to the multiplication factor mc.
The information provided in this template shall cover the portfolio of positions assigned to non-IRT desks, where those positions are considered in the calculation of .
The information provided in this template shall cover the three-month period ending with the reference date of the report (reference period).
The date t reported in column 0010 of this template serves as row identifier and shall be unique for every row in the template.

2.6.1.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Date (t) Institutions shall provide data for any business day in the quarter the report refers to.
0020 – 0110	Positions considered in the calculation of AIMA (non-IRT desks)
0020	Value at risk (1 day holding period, 99% confidence interval) (VaRt(99%,1d)) Article 325bf(6) of Regulation (EU) No 575/2013
0030	Expected shortfall (1 day holding period, 99% confidence interval) (ESt(99%,1d)) The expected shortfall over a 1-day period with a 99% confidence interval, based on the predicted risk distribution of the P&Ls of the risk measurement model used by the institution to determine the value-at-risk number referred to in Article 325bf(6) of Regulation (EU) No 575/2013 shall be reported.
0040	Actual profit (+) or loss (-) (APL) Article 325bf(4) and (6) of Regulation (EU) No 575/2013, Article 2 of Delegated Regulation (EU) 2022/2059
0050	APL: p-Value The p-Value shall be determined as the probability of obtaining an APL result that is at least as low as the one on that date t under the assumption that the APL is the distribution used to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013. For that purpose, the value of the realised APL as of that date shall be compared to the risk distribution of the P&Ls of the risk measurement model predicted as of that date. Given a vector of simulated P&Ls (used to estimate the VaR) sorted in ascending order, , the p-value, , corresponding to a given P&L, , shall be obtained in the following way: where
0060	Hypothetical profit (+) or loss (-) (HPL) Article 325bf(4) and (6) of Regulation (EU) No 575/2013, Article 4 of Delegated Regulation (EU) 2022/2059
0070	HPL: p-Value The p-Value shall be determined as the probability of obtaining an HPL result that is at least as low as the one on that date t under the assumption that the HPL is the distribution used to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013. For that purpose, the value of the realised HPL as of that date shall be compared to the risk distribution of the P&Ls of the risk measurement model predicted as of that date. The formula specified in the instructions for column 0050 of this template shall be used to identify the relevant p-value.
0080-0090	Overshooting Article 325bf(4) and (6) of Regulation (EU) No 575/2013 ‘Constitutes overshooting’ shall be indicated, where the observation for the date t constitutes an overshooting in the sense of Article 325bf(6), first subparagraph, point (a), or Article 325bf(4), point (c), of Regulation (EU) No 575/2013. Overshootings within the meaning of Article 325bf(4), point (c), of Regulation (EU) No 575/2013 shall be reported as overshootings both on the basis of the APL and the HPL. ‘Does not constitute overshooting’ shall be indicated otherwise.
0080	Overshooting – APL Articles 325bf(4), point (b) and (c), and (6), of Regulation (EU) No 575/2013
0090	Overshooting – HPL Article 325bf(4), points (a) and (c), and (6) of Regulation (EU) No 575/2013
0100-0110	Excluded overshootings Article 325bf(8) of Regulation (EU) No 575/2013 ‘Does not constitute overshooting’ shall be reported, where no overshooting was identified for the date t. ‘Overshooting excluded’ shall be indicated, where the competent authority permitted the institution not to count an overshooting in accordance with Article 325bf(8) of Regulation (EU) No 575/2013. ‘Overshooting not excluded’ shall be indicated otherwise.
0100	Excluded overshootings: APL
0110	Excluded overshootings: HPL

2.6.2 C 96.04.2: Back-testing at trading desk level and profit and loss attribution test (PLAT) (MKR AIMA BTTD)

2.6.2.1 General remarks

The template MKR AIMA BTTD shall be used to provide information on the results of the back-testing at the level of the trading desk, which are considered for the purposes of Article 325bf(1) to (4) of Regulation (EU) No 575/2013.
Information shall be provided on both the non-IRT desks, including also notional desks, where applicable, and the IRT desk. All desks included in the scope of the permission to use the alternative internal model approach shall be reported in the template.
The information provided in this template shall cover the three-month period ending with the reference date of the report (reference period).
The combination of the trading desk ID (column 0010) and the date t (column 0020) serves as row identifier and shall be unique for every row in the template.

2.6.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Non-IRT desks (incl. notional desks) and IRT desk: Trading desk ID Internal, alpha-numerical code assigned by the institution to identify the trading desk. The trading desk ID shall be used consistently across reports, templates and over time. The Trading desk ID assigned to a desk shall be unique across all offsetting groups belonging to the group as a whole. In accordance with paragraph 65, institutions shall report information on every trading desk included in the scope of the permission to use an alternative internal model, irrespective of whether the institution applies the alternative standardised approach or the alternative internal model approach for the calculation of own funds requirements during the reference period or as of the reference date.
0020	Date (t) Institutions shall provide data for any business day in the quarter the report refers to.
0030	Value at risk (1 day holding period, 99% confidence interval) (VaRt(99%,1d)) Article 325bf(1) to (4) of Regulation (EU) No 575/2013
0040	Value at risk (1 day holding period, 97.5% confidence interval) (VaRt(97.5%,1d)) Article 325bf(1) to (4) of Regulation (EU) No 575/2013
0050	Expected shortfall (1 day holding period, 99% confidence interval) (ESt(99%,1d)) The expected shortfall over a 1-day period with a 99% confidence interval, using the predicted risk distribution of the P&Ls used by the institution to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013, shall be reported.
0060	Expected shortfall (1 day holding period, 97.5% confidence interval) (ESt(97.5%,1d)) The expected shortfall over a 1-day period with a 97.5% confidence interval, using the predicted risk distribution of the P&Ls used by the institution to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013, shall be reported.
0070	Actual profit (+) or loss (-) (APL) Article 325bf(2) and (3) of Regulation (EU) No 575/2013
0080	APL: p-value The p-value shall be determined as the probability of obtaining an APL result at least as low as the one on that date t under the assumption that the APL is the distribution used to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013. For that purpose, the value of the realised APL as of that date shall be compared to the risk distribution of the P&Ls of the risk measurement model predicted as of that date. The formula specified in the instructions for column 0050 of template C 96.04.1 shall be used to identify the relevant p-value.
0090	Hypothetical profit (+) or loss (-) (HPL) Article 325bf(2) and (3) of Regulation (EU) No 575/2013
0100	HPL: p-Value The p-Value shall be determined as the probability of obtaining an HPL result at least as low as the one on that date t under the assumption that the HPL is the distribution used to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013. For that purpose, the value of the realised HPL as of that date shall be compared to the risk distribution of the P&Ls of the risk measurement model predicted as of that date. The formula specified in the instructions for column 0050 of template C 96.04.1 shall be used to identify the relevant p-value.
0110	Risk-theoretical profit (+) or loss (-) (RTPL) Article 325bg of Regulation (EU) No 575/2013, Articles 6, 12 and 14 of Delegated Regulation (EU) 2022/2059
0120	RTPL: p-Value The p-Value shall be determined as the probability of obtaining an RTPL result at least as low as the one on that date t under the assumption that the RTPL is the distribution used to determine the value-at-risk number referred to in Article 325bf(1) of Regulation (EU) No 575/2013. For that purpose, the value of the realised RTPL as of that date shall be compared to the risk distribution of the P&Ls of the risk measurement model predicted as of that date. The formula specified in the instructions for column 0050 of template C 96.04.1 shall be used to identify the relevant p-value.
0130-0160	Overshooting Article 325bf(1) to (4) of Regulation (EU) No 575/2013 ‘Constitutes overshooting’ shall be indicated, where the observation for the date t constitutes an overshooting in the sense of Article 325bf(1), point (a), or 325bf(4), point (c), of Regulation (EU) No 575/2013. Overshootings within the meaning of Article 325bf(4), point (c), of Regulation (EU) No 575/2013 shall be reported as overshootings both on the basis of the APL and the HPL, and both against the 97.5%- and the 99%-VaR. ‘Does not constitute overshooting’ shall be indicated otherwise.
0130-0140	Overshooting - APL Article 325bf(1) to (3) and (4), point (b) and (c), of Regulation (EU) No 575/2013
0130	Overshooting: APL – VaRt(99%,1d)
0140	Overshooting: APL – VaRt(97.5%,1d)
0150-0160	Overshooting – HPL Article 325bf(1) to (3) and (4), points (a) and (c), of Regulation (EU) No 575/2013
0150	Overshooting: HPL – VaRt(99%,1d)
0160	Overshooting: HPL – VaRt(97.5%,1d)
0170-0200	Excluded overshootings Article 325bf(8) of Regulation (EU) No 575/2013 ‘Does not constitute overshooting’ shall be reported, where no overshooting was identified for the date t. ‘Overshooting excluded’ shall be indicated, where the competent authority permitted the institution not to count an overshooting in accordance with Article 325bf(8) of Regulation (EU) No 575/2013. ‘Overshooting not excluded’ shall be indicated otherwise.
0170-0180	Excluded overshootings: APL
0170	Excluded overshooting: APL – VaRt(99%,1d)
0180	Excluded overshooting: APL – VaRt(97.5%,1d)
0190-0200	Excluded overshootings: HPL
0190	Excluded overshooting: HPL – VaRt(99%,1d)
0200	Excluded overshooting: HPL – VaRt(97.5%,1d)

2.7 Stress scenario risk measure

2.7.1 C 96.05.1: Stress scenario risk measure (SSRM) - Own funds requirements (MKR AIMA SSRM1)

2.7.1.1 General remarks

The template MKR AIMA SSRM1 shall be used to provide information on the calculation of the own funds requirements for non-modellable risk factors, i.e. the stress scenario risk measure.
The information provided in this template shall cover the portfolio of positions assigned to non-IRT desks, where those positions are considered in the calculation of as of the reference date.

2.7.1.2 Instructions concerning specific positions


Column	Legal references and instructions
0010 – 0090	Positions considered in the calculation of as of the reference date (non-IRT desks)
0010-0040	Sum of rescaled stress scenario risk measures (∑RSS) The sum of all the rescaled stress scenario risk measures RSS, calculated in accordance with Article 12(1) of [RTS on SSRM], shall be reported.
0010-0020	SSRM determined at the level of a risk factor Where the stress scenario risk measure for a NMRF is calculated at the level of the risk factor, the sum of the RSS, as referred to in Article 12(1) of [RTS on SSRM], for all those NMRFs shall be reported.
0010	SSRM determined at the level of a risk factor: Risk factor is parameter for curve, surface or cube The sum of RSS for the set of non-modellable risk factors that are parameters of a curve or a surface shall be reported.
0020	SSRM determined at the level of a risk factor: Risk factor is not parameter for curve, surface or cube The sum of RSS for the set of non-modellable risk factors that are not parameters of a curve or a surface shall be reported.
0030	SSRM determined at the level of a standardised bucket Where the stress scenario risk measure is calculated for more than one NMRF at the level of a standardised bucket in accordance with Article 11 of [RTS on SSRM], the sum of the RSS, as referred to in Article 12(1) of that Regulation, for all those standardised buckets shall be reported.
0040	Total
0110-0140	Sum of squared rescaled stress scenario risk measures (∑RSS2) The sum of the squares of all the rescaled stress scenario risk measures (RSS2), as referred to in the formula in Article 12(2) of [RTS on SSRM], shall be reported.
0110-0120	SSRM determined at the level of a risk factor Where the stress scenario risk measure for a NMRF is calculated at the level of the risk factor, the sum of the RSS2, as referred to in Article 12(1) of [RTS on SSRM], for all those non-modellable risk factors shall be reported.
0110	SSRM determined at the level of a risk factor: Risk factor is parameter for curve, surface or cube The sum of the RSS2 for the set of non-modellable risk factors that are parameters of a curve or a surface shall be reported.
0120	SSRM determined at the level of a risk factor: Risk factor is not parameter for curve, surface or cube The sum of the RSS2 for the set of non-modellable risk factors that are not parameters of a curve or a surface shall be reported.
0130	SSRM determined at the level of a standardised bucket Where the stress scenario risk measure is calculated for more than one NMRF at the level of a standardised bucket in accordance with Article 11 of [RTS on SSRM], the sum of the RSS2, as referred to in Article 12(1) of that Regulation, for all those standardised buckets shall be reported.
0140	Total
0200	Aggregate stress scenario risk measure Aggregate stress scenario risk measure as calculated in accordance with Article 12(2) [RTS on SSRM]


Row	Legal references and instructions
0010	Total Article 325bd, Table 2, of Regulation (EU) No 575/2013, and [RTS on SSRM]
0020	Interest rate risk Article 325bd, Table 2, of Regulation (EU) No 575/2013
0030	Interest rate risk – Most liquid currencies and domestic currency
0040	Interest rate risk – Other currencies
0050	Interest rate risk – Volatility
0060	Interest rate risk – Other types
0070	Credit spread risk, idiosyncratic Article 325bd of Regulation (EU) No 575/2013 in conjunction with Article 12(3) of [RTS on SSRM]
0080	Credit spread risk, idiosyncratic – Central government, including central banks, of Member States
0090	Credit spread risk, idiosyncratic – Covered bonds issued by credit institutions in Member States (Investment Grade)
0100	Credit spread risk, idiosyncratic – Sovereign (Investment grade)
0110	Credit spread risk, idiosyncratic – Sovereign (High yield)
0120	Credit spread risk, idiosyncratic – Corporate (Investment grade)
0130	Credit spread risk, idiosyncratic – Corporate (High yield)
0140	Credit spread risk, idiosyncratic – Volatility
0150	Credit spread risk, idiosyncratic – Other types
0160	Credit spread risk, non-idiosyncratic Article 325bd of Regulation (EU) No 575/2013 in conjunction with Article 12(3) of [RTS on SSRM]
0170	Credit spread risk, non-idiosyncratic – Central government, including central banks, of Member States
0180	Credit spread risk, non-idiosyncratic – Covered bonds issued by credit institutions in Member States (Investment Grade)
0190	Credit spread risk, non-idiosyncratic – Sovereign (Investment grade)
0200	Credit spread risk, non-idiosyncratic – Sovereign (High yield)
0210	Credit spread risk, non-idiosyncratic – Corporate (Investment grade)
0220	Credit spread risk, non-idiosyncratic – Corporate (High yield)
0230	Credit spread risk, non-idiosyncratic – Volatility
0240	Credit spread risk, non–idiosyncratic – Other types
0250	Equity risk, idiosyncratic Article 325bd, Table 2, of Regulation (EU) No 575/2013 in conjunction with Article 12(4) of [RTS on SSRM]
0260	Equity risk, idiosyncratic – Equity price (Large market capitalisation)
0270	Equity risk, idiosyncratic – Equity price (Small market capitalisation)
0280	Equity risk, idiosyncratic – Volatility (Large market capitalisation)
0290	Equity risk, idiosyncratic – Volatility (Small market capitalisation)
0300	Equity risk, idiosyncratic – Other types
0310	Equity risk, non-idiosyncratic Article 325bd, Table 2, of Regulation (EU) No 575/2013 in conjunction with Article 12(4) of [RTS on SSRM]
0320	Equity risk, non-idiosyncratic – Equity price (Large market capitalisation)
0330	Equity risk, non-idiosyncratic – Equity price (Small market capitalisation)
0340	Equity risk, non-idiosyncratic – Volatility (Large market capitalisation)
0350	Equity risk, non-idiosyncratic – Volatility (Small market capitalisation)
0360	Equity risk, non-idiosyncratic – Other types
0370	Foreign exchange risk Article 325bd , Table 2, of Regulation (EU) No 575/2013
0380	Foreign exchange risk – Most liquid currency pairs
0390	Foreign exchange risk – Other currency pairs
0400	Foreign exchange risk – Volatility
0410	Foreign exchange risk – Other types
0420	Commodity risk Article 325bd, Table 2, of Regulation (EU) No 575/2013
0430	Commodity risk – Energy price and carbon emissions price
0440	Commodity risk – Precious metal price and non-ferrous metal price
0450	Commodity risk – Other commodity prices
0460	Commodity risk – Energy volatility and carbon emissions volatility
0470	Commodity risk – Precious metal volatility and non-ferrous metal volatility
0480	Commodity risk – Other commodity volatilities
0490	Commodity risk – Other types

2.7.2 C 96.05.2: Stress scenario risk measure (SSRM) – Number of risk measures by SSRM method (MKR AIMA SSRM2)

2.7.2.1 General remarks

The template MKR AIMA SSRM2 shall be used to provide information on the number of risk measures calculated for non-modellable risk factors, broken down by the method used to determine the Stress scenario risk measures.
The information provided in this template shall cover the portfolio of positions assigned to non-IRT desks, where those positions are considered in the calculation of as of the reference date.

2.7.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0040	Positions considered in the calculation of as of the reference date (non-IRT desks): Capitalisation of non-modellable risk factors (NMRF) Information on risk factors that are considered non-modellable on the basis of the assessment made in accordance with Article 325be of Regulation (EU) No 575/2013 in conjunction with Delegated Regulation (EU) 2022/2060
0010-0020	Number of rescaled stress scenario risk measures calculated at the level of a risk factor Where the stress scenario risk measure for a NMRF is calculated at the level of the risk factor, the number of rescaled stress scenario risk measures calculated for all those NMRFs shall be reported.
0010	Number of rescaled stress scenario risk measures calculated at the level of a risk factor: Risk factor is parameter for curve, surface or cube The number of rescaled stress scenario risk measures calculated for NMRFs that are parameters of a curve or a surface shall be reported.
0020	Number of rescaled stress scenario risk measures calculated at the level of a risk factor: Risk factor is not a parameter for curve, surface or cube The number of rescaled stress scenario risk measures calculated for NMRFs that are not parameters of a curve or a surface shall be reported.
0030	Number of rescaled stress scenario risk measures calculated at the level of a standardised bucket Where the stress scenario risk measure is calculated for more than one NMRF at the level of a standardised bucket in accordance with Article 11 of [RTS on SSRM], the number of those standardised buckets shall be reported.
0040	Total number of rescaled stress scenario risk measures The number of stress scenario risk measures reported in this column shall be the sum of the number of stress scenario risk measures calculated at the level of a risk factor and the number of stress scenario risk measures calculated at the level of standardised buckets.


Row	Legal references and instructions
0010	All methods
0020	Direct method Articles 1(2) and 2(2) of [RTS on SSRM]
0030	Step-wise method – Historical method Articles 1(4), point (b)(i), and 2(4), point (b)(i), of [RTS on SSRM]
0040	Step-wise method – Asymmetrical sigma method Articles 1(4), point (b)(ii), and 2(4), point (b)(ii), of [RTS on SSRM]
0050	Step-wise method – Fallback method Articles 1(4), point (b)(iii), and 2(4), point (b)(iii), of [RTS on SSRM]
0060	Maximum loss approach Article 10 of [RTS on SSRM]

2.8 C 97.00: Trading desk structure (MKR AIMA TDS)

2.8.1 General remarks

The template MKR AIMA TDS shall be used to provide detailed information on every trading desk included in the scope of the permission to use the alternative internal model approach granted by the competent authority, including information on the result of the back-testing and the profit and loss-attribution tests, the own funds requirements determined in accordance with A-SA and AIMA and the main types of risks and instruments traded on that desk.
Information shall be provided on both the non-IRT desks, including also notional desks, where applicable, and the IRT desk. All desks included in the scope of the permission to use the alternative internal model approach shall be reported in the template.
The trading desk ID (column 0020) serves as row identifier and shall be unique for every row in the template.

2.8.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Offsetting group The offsetting group that the entity belongs to who manages the trading desk shall be indicated. The value reported shall be determined in accordance with the specifications in Part I, section 1.4 of this Annex.
0020	Non-IRT desks (incl. notional desks) and IRT desk: Trading desk ID Internal, alpha-numerical code assigned by the institution to identify the trading desk. The trading desk ID shall be used consistently across reports, templates and over time. The Trading desk ID assigned to a desk shall be unique across all offsetting groups belonging to the group as a whole. In accordance with paragraph 73, institutions shall report information on every trading desk, included in the scope of the permission to use an alternative internal model, irrespective of whether the institution applies the alternative standardised approach or the alternative internal model approach for the calculation of own funds requirements during the reference period or as of the reference date.
0030	Trading desk name (Full) name assigned by the institution to identify the trading desk
0040	Approach for calculating own funds requirements for market risk applied as of the reference date The approach for calculating the own funds requirements for market risk applied as of the reference date shall be indicated. The value reported shall be one of the following: - Alternative Internal Model Approach (AIMA) - Alternative Standardised Approach (ASA)
0050 – 0080	Results of the back-testing and the PLAT taken into consideration in the calculation of own funds requirements as of the reference date The information provided in these columns shall reflect the result of the two tests that determine the scope of positions that the institution applies the AIMA, respectively the ASA, to for the purposes of calculating the own funds requirements as of the reference date.
0050	Classification of the desk (profit and loss attribution test) Article 9 of Delegated Regulation (EU) 2022/2059 The value reported shall be the colour of the zone that the desk is assigned to and shall be the desk and one of the following: - Green, - Yellow, - Orange, - Red.
0060	Kolmogorov-Smirnov-coefficient Article 8 of Delegated Regulation (EU) 2022/2059
0070	Spearman correlation coefficient Article 7 of Delegated Regulation (EU) 2022/2059
0080	Passes trading desk back-testing requirements Article 325bf(3) of Regulation (EU) No 575/2013 ‘Passes back-testing requirements’ shall be indicated, where the trading desk is deemed to meet the back-testing requirements in accordance with Article 325bf(3) of Regulation (EU) No 575/2013. ‘Does not pass back-testing requirements’ shall be indicated otherwise.
0090	Own funds requirements under the alternative standardised approach Institutions shall provide information on the own funds requirements calculated in accordance with the Alternative Standardised Approach for the portfolio of positions covered by each individual trading desk.
0100	Desk trades in instruments subject to the default risk charge ‘Trades instruments subject to default risk’ shall be indicated, where the instruments subject to the default charge are traded at the desk. ‘Does not trade instruments subject to default risk’ shall be indicated otherwise.
0210-0270	Main risk types for each trading desk (category) Institutions shall indicate, whether the primary activities of the trading desk as defined in the trading strategy referred to in Article 104b of Regulation (EU) No 575/2013 include trading in the respective risk class.
0210	General interest rate Institutions shall indicate if the trading desk trades in positions subject to general interest rate risk, by reporting one of the following: - Trade in instruments subject to general interest rate risk - No trade in instruments subject to general interest rate risk
0220	Equity Institutions shall indicate if the trading desk trades in positions subject to equity risk, by reporting one of the following: - Trade in instruments subject to equity risk - No trade in instruments subject to equity risk
0230	Commodities Institutions shall indicate if the trading desk trades in positions subject to commodities risk, by reporting one of the following: - Trade in instruments subject to commodities risk - No trade in instruments subject to commodities risk
0240	Foreign exchange (FX) Institutions shall indicate if the trading desk trades in positions subject to foreign exchange risk, by reporting one of the following: - Trade in instruments subject to foreign exchange (FX) risk - No trade in instruments subject to foreign exchange (FX) risk
0250	Credit spread Institutions shall indicate if the trading desk trades in positions subject to credit spread risk, by reporting one of the following: - Trade in instruments subject to credit spread risk - No trade in instruments subject to credit spread risk
0260	Other risk types Institutions shall indicate if the trading desk trades in positions subject to risks other than those referred to in columns 0210 to 0250, by reporting one of the following: - Trade in instruments subject to other types of risk - No trade in instruments subject to other types of risk Where institutions indicate that it trades instruments subject to other types of risk at the trading desk, it shall specify and explain the type(s) of risk in column 0270.
0270	Other risk types – Details Where the institutions indicates in column 0260 that it trades instruments subject to other types of risk at the trading desk, it shall specify and explain the type(s) of risk(s).
0310-0420	Main types of instruments traded by this desk (category) Institutions shall indicate, whether the primary activities of the trading desk as defined in the trading strategy referred to in Article 104b of Regulation (EU) No 575/2013 include trading in instruments of the respective type at the trading desk.
0310	Cash Institutions shall indicate if the trading desk trades in cash instruments by reporting one of the following: - Trade in cash instruments - No trade in cash instruments
0320	Forwards Institutions shall indicate if the trading desk trades in forwards by reporting one of the following: - Trade in forwards - No trade in forwards
0330	Futures Institutions shall indicate if the trading desk trades in futures by reporting one of the following: - Trade in futures - No trade in futures
0340	Plain vanilla options Institutions shall indicate if the trading desk trades in plain vanilla options by reporting one of the following: - Trade in plain vanilla options - No trade in plain vanilla options
0350	Complex options Institutions shall indicate if the trading desk trades in complex options by reporting one of the following: - Trade in complex options - No trade in complex options
0360	Asset-backed instruments Institutions shall indicate if the trading desk trades in asset-backed instruments by reporting one of the following: - Trade in asset-backed instruments - No trade in asset-backed instruments
0370	Mortgage-backed securities Institutions shall indicate if the trading desk trades in mortgage-backed securities by reporting one of the following: - Trade in mortgage-backed securities - No trade in mortgage-backed securities
0380	Interest rate swaps Institutions shall indicate if the trading desk trades in interest rate swaps by reporting one of the following: - Trade in interest rate swaps - No trade in interest rate swaps
0390	FX swaps Institutions shall indicate if the trading desk trades in FX swaps by reporting one of the following: - Trade in FX swaps - No trade in FX swaps
0400	Credit default swaps Institutions shall indicate if the trading desk trades in credit default swaps by reporting one of the following: - Trade in credit default swaps - No trade in credit default swaps
0410	Other types of instruments Institutions shall indicate if the trading desk trades types of instruments other than those referred to in columns 0310 to 0400 by reporting one of the following: - Trade in other instruments - No trade in other instruments. Where the institution indicates that other types of instruments are being traded at the desk, it shall specify and explain the type(s) of instrument(s) in column 0420.
0420	Other types of instruments – Details Where the institution indicates that other types of instruments are being traded at the desk in column 0410, it shall specify and explain the type(s) of instrument(s).
0500	Description of trading desk activity Institutions shall include in this cell at least a summary of the trading activities referred to in Article 104b of Regulation (EU) No 575/2013.

2.9 Default risk charge

2.9.1. General remarks

The information provided in this set of templates shall cover the portfolio of positions assigned to non-IRT desks, where those positions are considered in the calculation of as of the reference date.

2.9.2 C 98.01.1: Default risk charge - Breakdown by probability of default (MKR AIMA DRC1)

2.9.2.1 General remarks

Template MKR AIMA DRC1 shall be used to provide information about the losses, as calculated with the DRC model authorised by the competent authority, broken down by probability of default of the issuer.

2.9.2.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0100	Positions considered in the calculation of as of the reference date (non-IRT desks): Gains (+) / losses (-), as calculated using the DRC model, assuming the default of the issuer (JTD DRC) by PD of the issuer The value reported shall reflect the losses, or Jump to default amount, calculated on the basis of the institution’s DRC model, upon the default of the issuer (JTD DRC). Institutions shall determine the JTD DRC for each issuer separately. Where an institution has long and short exposures towards the same issuer, it shall treat them as separate positions, and calculate the JTD DRC separately for the long exposure towards that issuer and the short exposure towards that issuer (gross JTD DRC amounts), respectively. Long and short exposures are defined in Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013. The JTD DRC of long exposures shall be reported with a negative sign (loss), the JTD DRC of short exposures shall be reported with a positive sign (gain). The losses shall be allocated to one of the default probability-buckets based on the most recent default probability estimate available at the reference date for the issuer in question. The default probability considered for the allocation to the columns shall be the one after application of the floor specified in Article 325bp of Regulation (EU) No 575/2013.
0010	Higher than or equal to 1 bp and lower than 3 bp – [1 bp, 3 bp)
0020	Higher than or equal to 3bp and lower than or 5 bp – [3bp, 5bp)
0030	Higher than or equal to 5bp and lower than 10bp – [5bp, 10bp)
0040	Higher than or equal to 10bp and lower than 20bp – [10bp, 20bp)
0050	Higher than or equal to 20bp and lower than 40bp – [20bp, 40bp)
0060	Higher than or equal to 40bp and lower than 1% – [40bp, 1%)
0070	Higher than or equal to 1% and lower than 4% – [1%, 4%)
0080	Higher than or equal to 4% and lower than 20% – [4%, 20%)
0090	Higher than or equal to 20% and lower than 100% – [20%–100%)
0100	Defaulted
0110	Average default probability, weighted by JTD DRC Institutions shall report the weighted average of the default probability. The PDs of an issuer shall be weighted by the sum of the absolute value of the JTD DRC for long exposures and the absolute value of the JTD DRC for short exposures to this issuer, normalised by the grand total of all those absolute values.


Row	Legal references and instructions
0010	All issuer types – All positions
0020 – 0030	Central government, including central banks, of Member States – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013
0040 – 0050	Covered bonds issued by credit institutions in Member States (Investment Grade) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013
0060 – 0070	Other sovereign (Investment grade) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions towards central governments or central banks, as reported in rows 0020 to 0030, shall not be included in these rows.
0080 – 0090	Other sovereign (High yield) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions towards central governments or central banks, as reported in rows 0020 to 0030, shall not be included in these rows.
0100 – 0110	Other sovereign (Unrated) – long/short Positions towards central governments or central banks, as reported in rows 0020 to 0030, shall not be included in these rows.
0120 – 0130	Corporate (Investment grade) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions consisting of covered bonds issued by credit institutions in Member States, as reported in rows 0040 to 0050, shall not be included in these rows.
0140 – 0150	Corporate (High yield) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions consisting of covered bonds issued by credit institutions in Member States, as reported in rows 0040 to 0050, shall not be included in these rows.
0160 – 0170	Corporate (Unrated) – long/short Positions consisting of covered bonds issued by credit institutions in Member States, as reported in rows 0040 to 0050, shall not be included in these rows.
0180 – 0190	Other types (investment grade or high yield) – long/short Positions consisting of debt instruments that cannot be allocated to any of the rows 0020 to 0170, including covered bonds issued by institutions outside the Member States, where the rating of the position corresponds to investment grade or high yield, shall be reported in this row.
0200 – 0210	Other types (unrated) – long/short Positions consisting of debt instruments that cannot be allocated to of the rows 0020 to 0170, including covered bonds issued by institutions outside the Member States, and which are unrated positions, shall be reported in this row.
0220 – 0230	Equity – long/short

2.9.3 C 98.01.2: Default risk charge - Breakdown by LGD (MKR AIMA DRC2)

2.9.3.1 General remarks

Template MKR AIMA DRC2 shall be used to provide information about the losses, as calculated with the DRC model authorised by the competent authority, broken down by the Loss Given Default used in the model.

2.9.3.2 Instructions concerning specific positions


Column	Legal references and instructions
0010-0100	Positions considered in the calculation of as of the reference date (non-IRT desks): Gains (+) / losses (-), as calculated using the DRC model, assuming the default of the issuer (JTD DRC), by LGD of the position The value reported shall reflect the losses, or Jump to default amount, calculated on the basis of the institution’s DRC model (JTD DRC). Institutions shall determine the loss for each issuer separately. Where an institution has long and short exposures towards the same issuer, it shall treat them as separate positions, and calculate the losses separately for the long exposure towards that issuer and the short exposure towards that issuer, respectively. Long and short exposures are defined in Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013. The JTD DRC of long exposures shall be reported with a negative sign (loss), the JTD DRC of short exposures shall be reported with a positive sign (gain). The losses shall be allocated to one of the LGD-buckets based on the LGD used in the calculation of the own funds requirements for default risk.
0010	Lower than or equal to 10% - [0-0.1]
0020	Higher than 10% and lower than or equal to 20% – (0.1, 0.2]
0030	Higher than 20% and lower than or equal to 30% – (0.2, 0.3]
0040	Higher than 30% and lower than or equal to 40% – (0.3, 0.4]
0050	Higher than 40% and lower than or equal to 50% – (0.4, 0.5]
0060	Higher than 50% and lower than or equal to 60% – (0.5, 0.6]
0070	Higher than 60% and lower than or equal to 70% – (0.6, 0.7]
0080	Higher than 70% and lower than or equal to 80% – (0.7, 0.8]
0090	Higher than 80% and lower than or equal to 90% – (0.8, 0.9]
0100	Higher than 90% - (0.9, ∞)
0110	Average LGD, weighted by JTD DRC Institutions shall report the weighted average of the Loss Given Default. For the purposes of the calculation of the average, all positions shall be grouped by LGD. The LGD values shall be weighted by the sum of the absolute value of the JTD DRC for long exposures and the absolute value of the JTD DRC for short exposures with this LGD, normalised by the grand total of all those absolute values.


Row	Legal references and instructions
0010	All issuer types – All positions
0020 – 0030	Central government, including central banks, of Member States – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013
0040 – 0050	Covered bonds issued by credit institutions in Member States (Investment Grade) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013
0060 – 0070	Other sovereign (Investment grade) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions towards central governments or central banks, as reported in rows 0020 to 0030, shall not be included in these rows.
0080 – 0090	Other sovereign (High yield) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions towards central governments or central banks, as reported in rows 0020 to 0030, shall not be included in these rows.
0100 – 0110	Other sovereign (Unrated) – long/short Positions towards central governments or central banks, as reported in rows 0020 to 0030, shall not be included in these rows.
0120 – 0130	Corporate (Investment grade) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions consisting of covered bonds issued by credit institutions in Member States, as reported in rows 0040 to 0050, shall not be included in these rows.
0140 – 0150	Corporate (High yield) – long/short Article 325bd, Table 2, of Regulation (EU) No 575/2013 Positions consisting of covered bonds issued by credit institutions in Member States, as reported in rows 0040 to 0050, shall not be included in these rows.
0160 – 0170	Corporate (Unrated) – long/short Positions consisting of covered bonds issued by credit institutions in Member States, as reported in rows 0040 to 0050, shall not be included in these rows.
0180 – 0190	Other types (investment grade or high yield) – long/short Positions consisting of debt instruments that cannot be allocated to any of the rows 0020 to 0170, including covered bonds issued by institutions outside the Member States, where the rating of the position corresponds to investment grade or high yield, shall be reported in this row.
0200 – 0210	Other types (unrated) – long/short Positions consisting of debt instruments that cannot be allocated to of the rows 0020 to 0170, including covered bonds issued by institutions outside the Member States, and which are unrated positions, shall be reported in this row.
0220 – 0230	Equity – long/short

2.9.4 Default risk charge – 25 most significant issuers

2.9.4.1 General remarks

The templates MKR AIMA CORR1 and MKR AIMA CORR2 shall be used to provide information about the 25 most significant issuers included in the scope of the DRC model.
Institutions shall identify and rank the 25 most significant issuers on the basis of the absolute value of the net JTD as calculated in the context of the alternative standardised approach in accordance with Articles 325x of Regulation (EU) No 575/2013 as of the reference date.

2.9.4.2 C 98.02.1: Default risk charge – 25 most significant issuers (MKR AIMA CORR1): Instructions concerning specific positions


Column	Legal references and instructions
0010 – 0060	Positions considered in the calculation of as of the reference date (non-IRT desks): 25 most significant issuers
0010-0030	Issuers
0010	Name Name of the issuer
0020	Code Where the issuer is an institution or insurance undertaking, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always be reported.
0030	Type of code The institutions shall specify whether the type of code reported in column 0010 as of the ‘LEI code type’ or ‘National code type’. The type of code shall always be reported.
0040-0050	Systematic risk factors used for modelling Article 325bp(1) of Regulation (EU) No 575/2013 Institutions shall specify the systematic risk factor types used for the modelling of this issuer, as well as the attribute(s) of the systematic risk factor used for this issuer.
0040	Systematic risk factor type 1 and attribute(s)
0050	Systematic risk factor type 2 and attribute(s)
0060	Net JTD Article 325x of Regulation (EU) No 575/2013
0070	JTD DRC (net per issuer) Institutions shall report the gains (+) / losses (-), calculated on the basis of the institution’s DRC model (JTD DRC), considering all positions towards that issuer.


Row	Legal references and instructions
0010-0250	Issuer 1 to issuer 25 The issuers shall be ranked. The most significant issuer shall be reported as issuer 1, the least significant among the top 25 as issuer 25. The identification of the issuers 1, 2, etc. shall be consistent between templates MKR AIMA CORR1 and MKR AIMA CORR2.

2.9.4.3 C 98.02.2: Default risk charge - 25 most significant issuers - Correlations (MKR AIMA CORR2): Instructions concerning specific positions


Column	Legal references and instructions
0010 – 0260	Positions considered in the calculation of as of the reference date (non-IRT desks): 25 most significant issuers
0010-0250	Correlations between the 25 most significant issuers – Issuer 1 to issuer 25 Article 325bn(1), point (c), and (3) of Regulation (EU) No 575/2013 The issuer-versus-issuer correlation-parameters for the ordinal association that are used to model issuer default correlation shall be reported.
0260	Weighted average correlation The weighted average correlation shall be reported as the average over all pair-wise issuer-issuer correlation parameters on the time horizon of 1 year, weighted by abs(JTD DRC ISSUER) (defined above). The average shall be calculated as the matrix product of the upper triangular half (without the diagonal) of the 25x25 matrix of correlations, multiplied by the upper triangular matrix J := and normalized by the sum of elements of J.


Row	Legal references and instructions
0010	25 most significant issuers
0020-0260	Issuer 1 to issuer 25 The issuers shall be ranked. The most significant issuer shall be reported as issuer 1, the least significant among the top 25 as issuer 25. The identification of the issuers 1, 2, etc. shall be consistent between templates MKR AIMA CORR1 and MKR AIMA CORR2.

C 99.00 Market risk: P&L information (MKR PL)

3.1 General remarks

Institutions shall report the information specified in this section for the aggregate of all offsetting groups belonging to the group. In accordance with the specifications in Part I, section 1.4 of this Annex, the field ‘offsetting group’ shall carry the value ‘all offsetting groups’.
This template shall be used to provide information on the daily profits and losses generated by the institutions’ business subject to market risk, taking into account the following specifications:
1. Where positions are trading book positions, the information provided in this template shall reflect the result of the daily revaluation of trading book positions in accordance with Article 105(3) of Regulation (EU) No 575/2013.
2. Where positions are non-trading book positions, institutions shall reflect the profits and losses resulting from a daily revaluation associated with those positions on a best effort basis.
3. Institutions shall indicate whether the data included in the template covers only trading book positions, or both trading book positions and non-trading book positions subject to market risk.

3.2 Instructions concerning specific positions


Column	Legal references and instructions
0010	Date (t) Institutions shall provide data for any business day in the reference period (three months-period ending with the reference date). This is a row identifier which shall be unique for each row in the template.
0020-0100	Economic profit (+) or loss (-) Article 325t(1) and 105(3) of Regulation (EU) No 575/2013 Institutions shall report the profit and loss resulting from the daily marking of their trading book positions, and, where applicable, non-trading book positions subject to foreign exchange or commodities risk, using the pricing models that serve as a basis for reporting profit and loss to senior management. Where an institution includes non-trading book positions in this row, only profits and losses associated with the foreign exchange and commodities risk of these positions shall be included into the economic profit and loss reported in this column. The total economic profit or loss reported in column 0020 may include profits and losses from intraday activities as well as fees, commissions, net interest income and valuation adjustments according to the internal profit and loss reporting. Those elements do not have to be allocated to risk classes for the purposes of reporting the information in columns 0030 to 0090. Institutions may choose to allocate only the profits or losses resulting from the revaluation of end-of-day positions, taking into account changes in market risk factors, to those columns.
0020	Total
0025	Total – Comments and explanations Institutions shall explain how they obtained the value reported in column 0020. They shall indicate at least the main elements included or excluded from the profit and loss reported in that column. They may provide further information they deem relevant for the correct interpretation of the values, included, but not limited to, information on core methodological assumptions, update of the valuation adjustments, elements removed or not removed from the economic profit and loss, or extraordinary events affecting the P&L of a certain business day. Where the institution applied the same approach for calculating the values in column 0020 for every business day of the whole reference period, they may provide that information only once in the row corresponding to the first business day of the reference period. Where the institution applied a different approach for calculating the values in column 0020 for certain business days of reference period, or from a certain business day of the reference period onwards, as applicable, they shall include the information into the rows corresponding to the respective business days, or the one corresponding to the first business day where the revised approach was applied.
0030-0095	Of which attributable to: Institutions shall report profit and loss amounts of the total profit and loss reported in column 0020 that can be attributed to the risk factors of the sensitivities-based method set out in Part Three, Title IV, Chapter 1a, Section 2 of Regulation (EU) No 575/2013, allocated to the risk classes in accordance with Article 325d of Regulation (EU) No 575/2013. The allocation may be approximated based on expert judgment, where relevant. It may not be possible to allocated all the profits and losses considered for the purposes of c0020 to risk factors of a certain risk class.
0030	General interest rate risk (GIRR) Article 325d(1), point (i), of Regulation (EU) No 575/2013
0040	Credit spread risk for non–securitisations (CSR) Article 325d(1), point (ii), of Regulation (EU) No 575/2013
0050	Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non–ACTP CSR) Article 325d(1), point (iii), of Regulation (EU) No 575/2013
0060	ACTP CSR – Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR) Article 325d(1) , point (iv), of Regulation (EU) No 575/2013
0070	Equity risk (EQU) Article 325d(1) , point (v), of Regulation (EU) No 575/2013
0080	Commodity risk (COM) Article 325d(1) , point (vi), of Regulation (EU) No 575/2013
0090	Foreign exchange risk (FX) Article 325d(1) , point (vii), of Regulation (EU) No 575/2013
0095	Of which attributable to – Comments and explanations Institutions shall explain how they obtained the value reported in columns 0030 to 0090. They shall indicate at least - Main elements included or excluded from the profit and loss for the purposes of the allocation to the broad categories of risk in column 0030 to 0090, - A short description of the methodology applied for the calculation of the profit and loss per risk class and its attribution to the risk class. Institutions may include information on the relevant systems generating pricing information, valuation methods and the mapping of internal valuation parameters to the risk factors of the sensitivities-based method used for purposes of the calculation and attribution. Where the institution applied the same approach for calculating the values in columns 0030 to 0090 for every business day of the whole reference period, they may provide that information only once in the row corresponding to the first business day of the reference period. Where the institution applied a different approach for calculating the values in column 0030 to 0090 for certain business days of reference period, or from a certain business day of the reference period onwards, as applicable, they shall include the information into the rows corresponding to the respective business days, or the one corresponding to the first business day where the revised approach was applied.
0100	Memorandum item: Coverage of the data Article 325d(1) , point (vii), of Regulation (EU) No 575/2013 ‘Economic P&L for all positions subject to market risk’ shall be indicated, if the data for the respective date includes the effect of the revaluation of positions both in the trading book and the non-trading book. ‘Economic P&L for positions subject to market risk in the trading book’ shall be indicated, if the data for the respective date is limited to data on the effect of the revaluation of positions in the trading book.

Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338), ELI: http://data.europa.eu/eli/dir/2013/36/oj ↑
Commission Delegated Regulation (EU) 2022/2328 of 16 August 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying exotic underlyings and the instruments bearing residual risks for the purposes of the calculation of own funds requirements for residual risks (OJ L 308, 29.11.2022, p. 1), ELI: http://data.europa.eu/eli/reg_del/2022/2328/oj ↑
Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013 (OJ L 276, 26.10.2022, p. 47), ELI: http://data.europa.eu/eli/reg_del/2022/2059/oj ↑
Commission Delegated Regulation (EU) 2022/2060 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation (OJ L 276, 26.10.2022, p. 60), ELI: http://data.europa.eu/eli/reg_del/2022/2060/oj ↑
Commission Delegated Regulation (EU) …/…. supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the stress scenario risk measure under Article 325bk(1) of Regulation (EU) No 575/2013 (OJ …, p. ..), ELI: … ↑

PART I: GENERAL INSTRUCTIONS

PART II: TEMPLATE RELATED INSTRUCTIONS

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