Regulatory Alerts2025-10-27
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Commission Implementing Regulation (EU) 2025/2159 amending supervisory reporting standards for investment firms
The European Commission amends Implementing Regulation (EU) 2021/2284 to align investment firm supervisory reporting with revised standards for credit institutions. It defers the first quarterly reporting obligation for investment firms other than small and non-interconnected ones, requiring submission of template C 25.01 by 30 June 2026 for reference dates between January and April 2026. The regulation updates Article 5 to specify quarterly reporting templates for market risk and own funds requirements, and adjusts Article 8 to mandate a minimum precision of ten thousands for monetary data points.
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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
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
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
EN
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
18
C 18.00
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS
MKR SA TDI
19
C 19.00
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS
MKR SA SEC
20
C 20.00
MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO
MKR SA CTP
21
C 21.00
MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES
MKR SA EQU
22
C 22.00
MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK
MKR SA FX
23
C 23.00
MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES
MKR SA COM
24
C 24.00
MARKET RISK INTERNAL MODELS
MKR IM
C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
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
18
CONVENTIONS
18
1.1.
Numbering convention
18
1.2.
Sign convention
18
1.3.
References to Regulation (EU) No 575/2013
18
PART II:
TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES
18
GENERAL REMARKS
18
C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
18
2.1.
General Remarks
18
2.2.
Instructions concerning specific positions
19
C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
20
3.1.
General Remarks
20
3.2.
Instructions concerning specific positions
21
C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
22
4.1.
General Remarks
22
4.2.
Instructions concerning specific positions
23
C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
24
5.1.
General Remarks
24
5.2.
Instructions concerning specific positions
24
C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
26
6.1.
General Remarks
26
6.2.
Instructions concerning specific positions
26
C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
28
7.1.
General Remarks
28
7.2.
Instructions concerning specific positions
28
C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)
29
8.1.
General Remarks
29
8.2.
Instructions concerning specific positions
29
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
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.
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
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.
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.
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
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.
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.
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).
Positions which receive a risk weight of 1 250 % may alternatively be deducted from CET1 (see Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be reported in this template, even if the institution makes use of possibility to deduct.
4.2. Instructions concerning specific positions
Columns
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
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.
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
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.
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
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
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.
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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