[F1C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)
ANNEX I Table 31: rows 1 - 15
[F1Value at Risk (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 | |||||||||
030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | ||
010 | TOTAL POSITIONS | Cell linked to CA | |||||||||||||||
Memorandum items: BREAKDOWN OF MARKET RISK | |||||||||||||||||
020 | Traded debt instruments | ||||||||||||||||
030 | TDI – General risk | ||||||||||||||||
040 | TDI – Specific Risk | ||||||||||||||||
050 | Equities | ||||||||||||||||
060 | Equities – General risk | ||||||||||||||||
070 | Equities – Specific Risk | ||||||||||||||||
080 | Foreign Exchange risk | ||||||||||||||||
090 | Commodities risk | ||||||||||||||||
100 | Total amount for general risk | ||||||||||||||||
110 | Total amount for specific risk | ] |
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).