Commission Implementing Regulation (EU) 2025/2159 amending supervisory reporting standards for investment firms

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Document 32025R2159

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

C/2025/7092

OJ L, 2025/2159, 31.10.2025, ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj

Language 1

Language 2

Language 3

Official Journal of the European Union

L series

2025/2159

31.10.2025

COMMISSION IMPLEMENTING REGULATION (EU) 2025/2159

of 27 October 2025

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

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

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

Having regard to Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements for investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 ( 1 ) , and in particular Article 54(3) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) 2021/2284 ( 2 ) introduced the regulatory reporting framework for the prudential regime of investment firms under Regulation (EU) 2019/2033. Article 5 of Implementing Regulation (EU) 2021/2284 on the format and frequency of reporting by investment firms other than small and non-interconnected investment firms, cross refers Commission Implementing Regulation (EU) 2021/451 ( 3 ) .

(2)

Due to the changes introduced by Regulation (EU) 2024/1623 of the European Parliament and of the Council ( 4 ) into Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 5 ) , the reporting framework set out in Implementing Regulation (EU) 2021/451 has been revised. As a consequence, that Implementing Regulation has been repealed and replaced by Commission Implementing Regulation (EU) 2024/3117 ( 6 ) .

(3)

To provide investment firms with sufficient time to adapt their own internal system and to comply with the revised reporting requirements, a derogation should be laid down deferring the remittance date of the first quarterly reporting obligation after the date of application of this Regulation.

(4)

Some elements of the revision introduced by Implementing Regulation (EU) 2024/3117 should be reflected in the reporting requirements applicable to investment firms, while other elements are not supposed to be amended. More specifically, the reporting on counterparty credit and credit valuation risks should be the same for investment firms that choose to apply the relevant provisions of Regulation (EU) No 575/2013 and credit institutions. By contrast, the reporting on own funds requirements for market risk, respectively K-factor ‘net position risk’ (K-NPR), should differ between credit institutions and investment firms, in light of the modifications introduced by Implementing Regulation (EU) 2024/3117 for credit institutions, such as the introduction of multiplication factors and other minor adjustments. Investment firms should apply and report on the own funds requirements for market risk as laid down in Part Three, Title IV, of Regulation (EU) No 575/2013 in the version in force on 26 June 2019 prior to the modifications introduced by Regulation (EU) 2019/876 of the European Parliament and of the Council ( 7 ) .

(5)

To ensure coherence between the credit institutions reporting framework and the investment firms reporting framework where the regulatory framework applied is the same, and provide for specific rules where the regulatory framework applicable to investment firms and credit institutions is different, Article 5 of Implementing Regulation (EU) 2021/2284 should be amended.

(6)

To facilitate compliance with the reporting requirements, the minimum precision requirements laid down in Article 8 of Implementing Regulation (EU) 2021/2284 should be adjusted.

(7)

Implementing Regulation (EU) 2021/2284 should therefore be amended accordingly.

(8)

This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA).

(9)

Given that the amendments to Implementing Regulation (EU) 2021/2284 are based on Implementing Regulation (EU) 2024/3117 and do not involve significant changes in substantive terms, in accordance with Article 15(1), second subparagraph, of Regulation (EU) No 1093/2010 of the European Parliament and of the Council ( 8 ) the EBA has not conducted open public consultations, nor analysed the potential related costs and benefits or requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of that Regulation, considering that it would be highly disproportionate in relation to the scope and impact of the draft implementing technical standards,

HAS ADOPTED THIS REGULATION:

Article 1

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

(1)

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

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

( *1 ) Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 ( OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj ).’;"

(2)

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

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

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

;

(3)

in Article 8, paragraph 1, point (b), point (i) is replaced by the following:

‘(i)

data points with the data type “Monetary” shall be reported using a minimum precision equivalent to ten thousands of units’;

(4)

the text in Annex I to this Regulation is added as Annex X;

(5)

the text in Annex II to this Regulation is added as Annex XI.

Article 2

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

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

Done at Brussels, 27 October 2025.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 314, 5.12.2019, p. 1 , ELI: http://data.europa.eu/eli/reg/2019/2033/oj .

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

( 3 ) Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 ( OJ L 97, 19.3.2021, p. 1 , ELI: http://data.europa.eu/eli/reg_impl/2021/451/oj ).

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

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

( 6 ) Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Commission Implementing Regulation (EU) 2021/451 ( OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/3117/oj ).

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

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

ANNEX I

‘ANNEX X

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

INVESTMENT FIRMS TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

MARKET RISK

MKR

C 18.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS

MKR SA TDI

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

C 20.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO

MKR SA CTP

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

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

Currency:

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

0010

0020

0030

0040

0050

0060

0070

0010

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Cell linked to CA2

0011

General risk

0012

Derivatives

0013

Other assets and liabilities

0020

Maturity-based approach

0030

Zone 1

0040

0 ≤ 1 month

0050

1 ≤ 3 months

0060

3 ≤ 6 months

0070

6 ≤ 12 months

0080

Zone 2

0090

1 ≤ 2 (1,9 for cupon of less than 3%) years

0100

2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years

0110

3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years

0120

Zone 3

0130

4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years

0140

5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years

0150

7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years

0160

10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years

0170

15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years

0180

20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years

0190

(> 12,0 ≤ 20,0 for cupon of less than 3%) years

0200

(> 20 for cupon of less than 3%) years

0210

Duration-based approach

0220

Zone 1

0230

Zone 2

0240

Zone 3

0250

Specific risk

0251

Own funds requirement for non-securitisation debt instruments

0260

Debt securities under the first category in Table 1

0270

Debt securities under the second category in Table 1

0280

With residual term ≤ 6 months

0290

With a residual term > 6 months and ≤ 24 months

0300

With a residual term > 24 months

0310

Debt securities under the third category in Table 1

0320

Debt securities under the fourth category in Table 1

0321

Rated nth-to default credit derivatives

0325

Own funds requirement for securitisation instruments

0330

Own funds requirement for the correlation trading portfolio

0350

Additional requirements for options (non-delta risks)

0360

Simplified method

0370

Delta plus approach - additional requirements for gamma risk

0380

Delta plus approach - additional requirements for vega risk

0385

Delta plus approach - non-continuous options and warrants

0390

Scenario matrix approach

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

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

BEFORE CAP

AFTER CAP / TOTAL OWN FUND REQUIREMENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 - 10%[

[10 - 12%[

[12 - 20%[

[20 - 40%[

[40 - 100%[

[100 - 150%[

[150 - 200%[

[200 - 225%[

[225 - 250%[

[250 - 300%[

[300 - 350%[

[350 - 425%[

[425 - 500%[

[500 - 650%[

[650 - 750%[

[750 - 850%[

[850 - 1 250 %[

1 250 %

[0 - 10%[

[10 - 12%[

[12 - 20%[

[20 - 40%[

[40 - 100%[

[100 - 150%[

[150 - 200%[

[200 - 225%[

[225 - 250%[

[250 - 300%[

[300 - 350%[

[350 - 425%[

[425 - 500%[

[500 - 650%[

[650 - 750%[

[750 - 850%[

[850 - 1 250 %[

1 250 %

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESSMENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS

OTHER (RW=1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

0010

0020

0030

0040

0050

0060

0061

0062

0063

0064

0065

0066

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0083

0085

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0098

0099

0101

0102

0103

0104

0402

0403

0404

0405

0900

0406

0530

0540

0570

0601

0010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {325:060}

0020

Of which: RE-SECURITISATIONS

0030

ORIGINATOR: TOTAL EXPOSURES

0040

SECURITISATIONS

0041

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0050

RE-SECURITISATIONS

0060

INVESTOR: TOTAL EXPOSURES

0070

SECURITISATIONS

0071

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0080

RE-SECURITISATIONS

0090

SPONSOR: TOTAL EXPOSURES

0100

SECURITISATIONS

0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

0110

RE-SECURITISATIONS

C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

ALL POSITIONS

(-) POSITIONS DEDUCTED FROM OWN FUNDS

NET POSITIONS

BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS

BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES

BEFORE CAP

AFTER CAP

TOTAL OWN FUNDS REQUIRE-MENTS

LONG

SHORT

(-) LONG

(-) SHORT

LONG

SHORT

[0 - 10%[

[10 - 12%[

[12 - 20%[

[20 - 40%[

[40 - 100%[

[100 - 250%[

[250 - 350%[

[350 - 425%[

[425 - 650%[

[650 - 1 250 %[

1 250 %

[0 - 10%[

[10 - 12%[

[12 - 20%[

[20 - 40%[

[40 - 100%[

[100 - 250%[

[250 - 350%[

[350 - 425%[

[425 - 650%[

[650 - 1 250 %[

1 250 %

SEC-IRBA

SEC-SA

SEC-ERBA

INTERNAL ASSESS-MENT APPROACH

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS

OTHER (RW= 1 250 %)

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

WEIGHTED NET LONG POSITIONS

WEIGHTED NET SHORT POSITIONS

0010

0020

0030

0040

0050

0060

0071

0072

0073

0074

0075

0076

0077

0078

0079

0081

0082

0086

0087

0088

0089

0091

0092

0093

0094

0095

0096

0097

0402

0403

0404

0405

0900

0406

0410

0420

0430

0440

0450

0010

TOTAL EXPOSURES

Cell linked to MKR SA TDI {0330:0060}

SECURITISATION POSITIONS:

0020

ORIGINATOR: TOTAL EXPOSURES

0030

SECURITISATIONS

0040

OTHER CTP POSITIONS

0050

INVESTOR: TOTAL EXPOSURES

0060

SECURITISATIONS

0070

OTHER CTP POSITIONS

0080

SPONSOR: TOTAL EXPOSURES

0090

SECURITISATIONS

0100

OTHER CTP POSITIONS

N-TH-TO-DEFAULT CREDIT DERIVATIVES:

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

0120

OTHER CTP POSITIONS

C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

POSITIONS

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

LONG

SHORT

LONG

SHORT

0010

0020

0030

0040

0050

0060

0070

0010

EQUITIES IN TRADING BOOK

Cell linked to CA

0020

General risk

0021

Derivatives

0022

Other assets and liabilities

0030

Exchange traded stock-index futures broadly diversified subject to particular approach

0040

Other equities than exchange traded stock-index futures broadly diversified

0050

Specific risk

0090

Additional requirements for options (non-delta risks)

0100

Simplified method

0110

Delta plus approach - additional requirements for gamma risk

0120

Delta plus approach - additional requirements for vega risk

0125

Delta plus approach - non-continuous options and warrants

0130

Scenario matrix approach

C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

(Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

LONG

SHORT

MATCHED

0020

0030

0040

0050

0060

0070

0080

0090

0100

0010

TOTAL POSITIONS

Cell linked to CA

0020

Currencies closely correlated

0025

of which: reporting currency

0030

All other currencies (including CIUs treated as different currencies)

0040

Gold

0050

Additional requirements for options (non-delta risks)

0060

Simplified method

0070

Delta plus approach - additional requirements for gamma risk

0080

Delta plus approach - additional requirements for vega risk

0085

Delta plus approach - non-continuous options and warrants

0090

Scenario matrix approach

BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

0100

Other assets and liabilities other than off-balance sheet items and derivatives

0110

Off-balance sheet items

0120

Derivatives

Memorandum items: CURRENCY POSITIONS

0130

Euro

0140

Lek

0150

Argentine Peso

0160

Australian Dollar

0170

Brazilian Real

0180

Bulgarian Lev

0190

Canadian Dollar

0200

Czech Koruna

0210

Danish Krone

0220

Egyptian Pound

0230

Pound Sterling

0240

Forint

0250

Yen

0280

Denar

0290

Mexican Peso

0300

Zloty

0310

Rumanian Leu

0320

Russian Ruble

0330

Serbian Dinar

0340

Swedish Krona

0350

Swiss Franc

0360

Turkish Lira

0370

Hryvnia

0380

US Dollar

0390

Iceland Krona

0400

Norwegian Krone

0410

Hong Kong Dollar

0420

New Taiwan Dollar

0430

New Zealand Dollar

0440

Singapore Dollar

0450

Won

0460

Yuan Renminbi

0470

Other

C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

ALL POSITIONS

NET POSITIONS

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

LONG

SHORT

LONG

SHORT

0010

0020

0030

0040

0050

0060

0070

0010

TOTAL POSITIONS IN COMMODITIES

Cell linked to CA

0020

Precious metals (except gold)

0030

Base metals

0040

Agricultural products (softs)

0050

Others

0060

Of which energy products (oil, gas)

0070

Maturity ladder approach

0080

Extended maturity ladder approach

0090

Simplified approach: All positions

0100

Additional requirements for options (non-delta risks)

0110

Simplified method

0120

Delta plus approach - additional requirements for gamma risk

0130

Delta plus approach - additional requirements for vega risk

0135

Delta plus approach - non-continuous options and warrants

0140

Scenario matrix approach

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

VaR

STRESSED VaR

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of overshootings during previous 250 working days

VaR Multiplication Factor (m c )

SVaR Multiplication Factor (m s )

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP

MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg )

PREVIOUS DAY (VaR t-1 )

MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg )

LATEST AVAILABLE (SVaR t-1 )

12 WEEKS AVERAGE MEASURE

LAST MEASURE

FLOOR

12 WEEKS AVERAGE MEASURE

LAST MEASURE

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

TOTAL POSITIONS

Cell linked to CA

Memorandum items: BREAKDOWN OF MARKET RISK

0020

Traded debt instruments

0030

TDI - General risk

0040

TDI - Specific Risk

0050

Equities

0060

Equities - General risk

0070

Equities - Specific Risk

0080

Foreign Exchange risk

0090

Commodities risk

0100

Total amount for general risk

0110

Total amount for specific risk

’

ANNEX II

‘ANNEX XI

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

Table of Contents

PART I:

GENERAL INSTRUCTIONS

CONVENTIONS

1.1.

Numbering convention

1.2.

Sign convention

1.3.

References to Regulation (EU) No 575/2013

PART II:

TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES

GENERAL REMARKS

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

2.1.

General Remarks

2.2.

Instructions concerning specific positions

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

3.1.

General Remarks

3.2.

Instructions concerning specific positions

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

4.1.

General Remarks

4.2.

Instructions concerning specific positions

C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

5.1.

General Remarks

5.2.

Instructions concerning specific positions

C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

6.1.

General Remarks

6.2.

Instructions concerning specific positions

C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

7.1.

General Remarks

7.2.

Instructions concerning specific positions

C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

8.1.

General Remarks

8.2.

Instructions concerning specific positions

PART I:

GENERAL INSTRUCTIONS

CONVENTIONS

1.1. Numbering convention

The document follows the labelling convention set in points 2 to 5, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

The following general notation is followed in the instructions: {Template; Row; Column}.

In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.

In the case of templates with only one column, only rows are referred to. {Template; Row}.

An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.2. Sign convention

Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.

1.3. References to Regulation (EU) No 575/2013

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

PART II:

TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES

GENERAL REMARKS

These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part.

The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components to calculate the capital required against that position risk. The first component shall cover its specific-risk – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures is laid down in Articles 326 to 333 of Regulation (EU) No 575/2013.

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

2.1. General Remarks

10.

This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 325(2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under Regulation (EU) No 575/2013 are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP shall only be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.

11.

This template shall be filled out separately for the “Total”, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

2.2. Instructions concerning specific positions

Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013. Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with Article 345(1), first subparagraph, second sentence, of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of that Regulation.

0030-0040

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches in Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013, receive a capital charge.

0060

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013.

0070

TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own funds requirements by 12,5.

Rows

0010-0350

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their corresponding own funds requirements for position risk in accordance with Article 92(4), point (b)(i), of Regulation (EU) No 575/2013 and of Part Three, Chapter 2, Title IV of that Regulation shall be reported depending on risk category, maturity and approach used.

0011

GENERAL RISK

0012

Derivatives

Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 of Regulation (EU) No 575/2013, where applicable.

0013

Other assets and liabilities

Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.

0020-0200

MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach referred to in Article 339(1) to (8) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of that Regulation. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.

0210-0240

GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach referred to in Article 340(1) to (6) of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of that Regulation. The position shall be split by zones 1, 2 and 3.

0250

SPECIFIC RISK

Sum of amounts reported in rows 0251, 0325 and 0330.

Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with Article 92(3), point (b), Article 335, Article 336(1), (2) and (3) and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of that Regulation.

0251-0321

Own funds requirement for non-securitisation debt instruments

Sum of the amounts reported in rows 260 to 321.

The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (Article 332(1), point (e), and Article 332(1), second subparagraph, of Regulation (EU) No 575/2013 – “look-through”). N-th-to-default credit derivatives which are rated externally (Article 332(1), third subparagraph, of Regulation (EU) No 575/2013) shall be reported separately in row 321.

Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of that Regulation (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. Those positions shall be assigned to rows 0280-0300 in accordance with the residual term to final maturity.

Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 of Regulation (EU) No 575/2013 shall apply.

0325

Own funds requirement for securitisation instruments

Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

0330

Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.

0350-0390

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(3) of Regulation (EU) No 575/2013.

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

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

3.1. General Remarks

12.

This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the Standardised Approach.

13.

The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all positions of the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template.

14.

Positions which receive a risk weight of 1 250 % may alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct.

3.2. Instructions concerning specific positions

Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation (securitisation positions). Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of that Regulation.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013

0050-0060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.

0061-0104

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013.

The breakdown shall be done separately for long and short positions.

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013

0402

SEC-IRBA

Article 259 and 260 of Regulation (EU) No 575/2013

0403

SEC-SA

Article 261 and 262 of Regulation (EU) No 575/2013

0404

SEC-ERBA

Article 263 and 264 of Regulation (EU) No 575/2013

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013.

0900

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a (3) of Regulation (EU) No 575/2013

0406

OTHER (RW = 1 250 %)

Article 254(7) of Regulation (EU) No 575/2013

0530-0540

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

Article 270a of Regulation (EU) No 575/2013

0570

BEFORE CAP

Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion set out in Article 335 of that Regulation that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

0601

AFTER CAP / TOTAL OWN FUND REQUIREMENTS

Article 337 of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation.

Rows

0010

TOTAL EXPOSURES

Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role of originator or investor or sponsor.

0040, 0070 and 0100

SECURITISATION POSITIONS

Article 4(1), point (62), of Regulation (EU) No 575/2013.

0020, 0050, 0080 and 0110

RE-SECURITISATIONS POSITIONS

Article 4(1), point (64), of Regulation (EU) No 575/2013

0041, 0071 and 0101

OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

Total amount of securitisation positions which fulfil the criteria set out in Article 243 or Article 270 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.

0030-0050

ORIGINATOR

Article 4(1), point (13), of Regulation (EU) No 575/2013

0060-0080

INVESTOR

Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator, sponsor nor original lender.

0090-0110

SPONSOR

Article 4(1), point (14), of Regulation (EU) No 575/2013.

A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

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

4.1. General Remarks

15.

This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) of Regulation (EU) No 575/2013) and the corresponding own funds requirements under the Standardised Approach.

16.

The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 338(2) and (3) of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds requirements for the general risk of those positions are reported in the MKR SA TDI or the MKR IM template.

17.

This template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The “other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) of Regulation (EU) No 575/2013), but they are explicitly “linked” to one of those two positions (because of the hedging intent).

18.

4.2. Instructions concerning specific positions

Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 338(2) and (3) of that Regulation (positions assigned to the Correlation Trading Portfolio)

Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013.

0030-0040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 253 of Regulation (EU) No 575/2013

0050-0060

NET POSITIONS (LONG AND SHORT)

Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013

Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.

0071-0097

BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS

Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4, and Article 266 of Regulation (EU) No 575/2013

0402-0406

BREAKDOWN OF THE NET POSITIONS BY APPROACHES

Article 254 of Regulation (EU) No 575/2013

0402

SEC-IRBA

Articles 259 and 260 of Regulation (EU) No 575/2013

0403

SEC-SA

Articles 261 and 262 of Regulation (EU) No 575/2013

0404

SEC-ERBA

Articles 263 and 264 of Regulation (EU) No 575/2013

0405

INTERNAL ASSESSMENT APPROACH

Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013

0900

SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Article 269a(3) of Regulation (EU) No 575/2013

0406

OTHER (RW=1 250 %)

Article 254(7) of Regulation (EU) No 575/2013

0410-0420

BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion set out in Article 335 of that Regulation

0430-0440

AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS

Article 338 of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation

0450

TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either of the following:

(a) the specific risk charge that would apply just to the net long positions (column 0430);

(b) the specific risk charge that would apply just to the net short positions (column 0440).

Rows

0010

TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role of originator, investor or sponsor.

0020-0040

ORIGINATOR

Article 4(1), point (13), of Regulation (EU) No 575/2013

0050-0070

INVESTOR

Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator, sponsor nor original lender

0080-0100

SPONSOR

Article 4(1), point (14), of Regulation (EU) No 575/2013

A sponsor that also securitises its own assets shall fill in the originator’'s rows with the information regarding its own securitised assets.

0030, 0060 and 0090

SECURITISATION POSITIONS

The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in Article 338(2) and (3) of Regulation (EU) No 575/2013.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row “Other CTP positions”.

0110

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 of Regulation (EU) No 575/2013 shall both be reported here.

The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions shall not be provided for n-th to default credit derivatives.

0040, 0070, 0100 and 0120

OTHER CTP POSITIONS

The following positions are included:

(a)

derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;

(b)

CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU) No 575/2013;

(c)

other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.

C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

5.1. General Remarks

19.

This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the Standardised Approach.

20.

This template shall be filled out separately for the “Total”, plus a static, pre-defined list of the following markets: Bulgaria, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For this reporting requirement, the term “market” shall be read as “country” (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014 ( 1 ) ).

5.2. Instructions concerning specific positions

Columns

0010-0020

ALL POSITIONS (LONG AND SHORT)

Article 102 and Article 105(1) of Regulation (EU) No 575/2013.

Those are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in Article 345(1), first subparagraph, second sentence of that Regulation.

0030-0040

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013.

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013 receive a capital charge. The capital charge shall be calculated for each national market separately. Positions in stock-index futures as referred to in 344(4), second sentence, of Regulation (EU) No 575/2013 shall not be included in this column.

0060

OWN FUNDS REQUIREMENTS

The own funds requirement in accordance with Part Three, Title IV, Chapter 2, of Regulation (EU) No 575/2013 for any relevant position

0070

TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5.

Rows

0010-0130

EQUITIES IN TRADING BOOK

Own funds requirements for position risk as referred to in Article 92(3), point (b)(i), of Regulation (EU) No 575/2013, and Part Three, Title IV, Chapter 2, Section 3, of that Regulation

0020-0040

GENERAL RISK

Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their corresponding own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3, of that Regulation

Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk.

Rows 0021 and 0022 request information on the breakdown by instruments.

Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements.

0021

Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 of Regulation (EU) No 575/2013, where applicable

0022

Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

0030

Exchange traded stock-index futures broadly diversified and subject to a particular approach

Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 ( 2 )

Those positions shall be only subject to general risk and, accordingly, shall not be reported in row 0050.

0040

Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk and the corresponding own funds requirements in accordance with Article 343 of Regulation (EU) No 575/2013, including positions in stock index futures treated in accordance with Article 344(3) of that Regulation

0050

SPECIFIC RISK

Positions in equities subject to specific risk and the corresponding own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with Article 344(4), second sentence, of that Regulation

0090-0130

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329(2) and (3) of Regulation (EU) No 575/2013

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

6.1. General Remarks

21.

Investment firms shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs.

22.

Rows 0100 to 0470 of this template shall be reported, where the investment firms have the permission to perform activities 3 or 6 of Annex I, Section A, to Directive 2014/65/EU of the European Parliament and of the Council ( 3 ) , even where those investment firms are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 of Regulation (EU) No 575/2013. In those memorandum items, all the positions in the reporting currency are included in rows 0100 to 0470, irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013. Rows 0130 to 0470 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

6.2. Instructions concerning specific positions

Columns

0020-0030

ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of Regulation (EU) No 575/2013

In accordance with Article 352(2) of Regulation (EU) No 575/2013 and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) of that Regulation and positions related to items that are already deducted in the calculation of own funds shall not be reported.

0040-0050

NET POSITIONS (LONG AND SHORT)

Article 352(3), Article 352(4), first two sentences, and Article 353 of Regulation (EU) No 575/2013

The net positions are calculated by each currency in accordance with Article 352(1) of that Regulation. Consequently, both long and short positions may be reported at the same time.

0060-0080

POSITIONS SUBJECT TO CAPITAL CHARGE

Article 352(4), third sentence, and Articles 353 and 354 of Regulation (EU) No 575/2013

0060-0070

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.

Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.

0080

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies.

0090

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 3, of Regulation (EU) No 575/2013

0100

TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5.

Rows

0010

TOTAL POSITIONS

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 of Regulation (EU) No 575/2013 and their corresponding own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), of that Regulation, taking into account Article 352(2) and (4) of Regulation (EU) No 575/2013 (for conversion into the reporting currency).

0020

CURRENCIES CLOSELY CORRELATED

Positions and their corresponding own funds requirements for closely correlated currencies as referred to in Article 354 of Regulation (EU) No 575/2013.

0025

Currencies closely correlated: of which : reporting currency

Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 of Regulation (EU) No 575/2013.

0030

ALL OTHER CURRENCIES (including CIUs treated as different currencies)

Positions and their corresponding own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013.

Reporting of CIUs treated as separate currencies in accordance with Article 353 of Regulation (EU) No 575/2013:

There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:

(a)

the modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);

(b)

where the direction of the CIUs investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).

The reporting of those CIUs shall follow the calculation of the capital requirements.

0040

GOLD

Positions and their corresponding own funds requirements for currencies subject to the general procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013

0050 - 0090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352(5) and (6) of Regulation (EU) No 575/2013

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

0100-0120

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.

0100

Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 0110 or 0120 shall be included here.

0110

Off-balance sheet items

Items within the scope of Article 352 of Regulation (EU) No 575/2013, irrespective of the currency of denomination, which are included in Annex I to that Regulation, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

0120

Derivatives

Positions valued in accordance with Article 352 of Regulation (EU) No 575/2013.

0130-0470

MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled in separately for all currencies of the member states of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

Positions in gold and positions in CIUs treated as a separate currency in accordance with Article 353(3) of Regulation (EU) No 575/2013 shall be included in row 0470.

C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

7.1. General Remarks

23.

This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.

7.2. Instructions concerning specific positions

Columns

0010-0020

All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) of Regulation (EU) No 575/2013 (see also Article 359(1) of that Regulation)

0030-0040

NET POSITIONS (LONG AND SHORT)

As referred to in Article 357(3) of Regulation (EU) No 575/2013

0050

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 4, of Regulation (EU) No 575/2013 receive a capital charge.

0060

OWN FUNDS REQUIREMENTS

The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4, of Regulation (EU) No 575/2013 for any relevant position

0070

TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5

Rows

0010

TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their corresponding own funds requirements for market risk calculated in accordance with Article 92(4), point (c), of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4, of that Regulation

0020-0060

POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Article 361, Table 2, of Regulation (EU) No 575/2013.

0070

MATURITY LADDER APPROACH

Positions in commodities subject to the maturity ladder approach referred to in Article 359 of Regulation (EU) No 575/2013

0080

EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 of Regulation (EU) No 575/2013

0090

SIMPLIFIED APPROACH

Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation (EU) No 575/2013

0100-0140

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358(4) of Regulation (EU) No 575/2013

The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

8.1. General Remarks

24.

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

25.

Generally, it depends on the structure of the model of the investment firms whether the figures for general and specific risk may be determined and reported separately or only as a total. The same holds true for the decomposition of the VaR /Stress-VaR into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution may refrain from reporting those decompositions if that institution proves that reporting those figures would be unduly burdensome.

8.2. Instructions concerning specific positions

Columns

0030-0040

Value at Risk (VaR)

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

0030

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

Article 364(1), point (a)(ii), and Article 365(1) of Regulation (EU) No 575/2013

0040

Previous day VaR (VaRt-1)

Article 364(1), point (a)(i), and Article 365(1) of Regulation (EU) No 575/2013

0050-0060

Stressed VaR

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

0050

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Article 364(1), point (b)(ii), and Article 365(1) of Regulation (EU) No 575/2013

0060

Latest available (SVaRt-1)

Article 364(1), point (b)(i), and Article 365(1) of Regulation (EU) No 575/2013

0070-0080

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with Article 364(2), point (b), in conjunction with Part Three, Title IV, Chapter 5, Section 4, of Regulation (EU) No 575/2013.

0070

12 weeks average measure

Article 364(2), point (b)(ii), in conjunction with Part Three, Title IV, Chapter 5, Section 4, of Regulation (EU) No 575/2013

0080

Last Measure

Article 364(2), point (b)(i), in conjunction with Part Three, Title IV, Chapter 5, Section 4, of Regulation (EU) No 575/2013

0090-0110

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

0090

FLOOR

Article 364(3), point (c), of Regulation (EU) No 575/2013

8 % of the capital charge that would be calculated in accordance with Article 338(1) of Regulation (EU) No 575/2013 for all positions in the “all price risks” capital charge.

0100-0110

12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364(3), point (b), of Regulation (EU) No 575/2013

0110

LAST MEASURE

Article 364(3), point (a), of Regulation (EU) No 575/2013

0120

OWN FUNDS REQUIREMENTS

Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the securitisation capital charges for securitisation and nth-to-default credit derivative according to Article 364(2) of that Regulation

0130

TOTAL RISK EXPOSURE AMOUNT

Article 92(6), point (b), of Regulation (EU) No 575/2013.

Result of the multiplication of the own funds requirements by 12,5

0140

Number of overshootings (during previous 250 working days)

Referred to in Article 366 of Regulation (EU) No 575/2013

The number of overshootings based on which the addend is determined shall be reported. Where investment firms are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c of Regulation (EU) No 575/2013, the number of overshootings reported in this column shall be net of those excluded overshootings.

0150-0160

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of Regulation (EU) No 575/2013

The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013.

0170-0180

ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP

The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account the discretion set out in Article 335 of that Regulation which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

Rows

0010

TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the risk factors referred to in Article 367(2) of that Regulation.

Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.

0020

TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013, linked to the interest rates risk factors referred to in Article 367(2), point (a), of that Regulation.

0030

TDI – GENERAL RISK

General risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0040

TDI – SPECIFIC RISK

Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0050

EQUITIES

Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the equity risk factors referred to in Article 367(2), point (c), of that Regulation.

0060

EQUITIES – GENERAL RISK

General risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0070

EQUITIES – SPECIFIC RISK

Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013

0080

FOREIGN EXCHANGE RISK

Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013

0090

COMMODITY RISK

Articles 363(1) and Article 367(2), point (d), of Regulation (EU) No 575/2013

0100

TOTAL AMOUNT FOR GENERAL RISK

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

0110

TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)

’

( 1 ) Commission Delegated Regulation (EU) No 525/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the definition of market ( OJ L 148, 20.5.2014, p. 15 , ELI: http://data.europa.eu/eli/reg_del/2014/525/oj ).

( 2 ) Commission Implementing Regulation (EU) No 945/2014 of 4 September 2014 laying down implementing technical standards with regard to relevant appropriately diversified indices according to Regulation (EU) No 575/2013 of the European Parliament and of the Council ( OJ L 265, 5.9.2014, p. 3 , ELI: http://data.europa.eu/eli/reg_impl/2014/945/oj ).

( 3 ) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU ( OJ L 173, 12.6.2014, p. 349 , ELI: http://data.europa.eu/eli/dir/2014/65/oj ).

ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj

ISSN 1977-0677 (electronic edition)

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