Commission Implementing Regulation (EU) No 680/2014 of 16 April 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) (c. 680)

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

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

Currency:

ANNEX I Table 23: rows 1 - 49

		POSITIONS					OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT
		ALL POSITIONS		NET POSITIONS		POSITIONS SUBJECT TO CAPITAL CHARGE
		LONG	SHORT	LONG	SHORT
		010	020	030	040	050	060	070
010	TRADED DEBT INSTRUMENTS IN TRADING BOOK							Cell linked to CA2
011	General risk
012	Derivatives
013	Other assets and liabilities
020	Maturity-based approach
030	Zone 1
040	0 ≤ 1 month
050	> 1 ≤ 3 months
060	> 3 ≤ 6 months
070	> 6 ≤ 12 months
080	Zone 2
090	> 1 ≤ 2 (1,9 for cupon of less than 3 %) years
100	> 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years
110	> 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years
120	Zone 3
130	> 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years
140	> 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years
150	> 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years
160	> 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years
170	> 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
180	> 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years
190	(> 12,0 ≤ 20,0 for cupon of less than 3 %) years
200	(> 20 for cupon of less than 3 %) years
210	Duration-based approach
220	Zone 1
230	Zone 2
240	Zone 3
250	Specific risk
251	Own funds requirement for non-securitisation debt instruments
260	Debt securities under the first category in Table 1
270	Debt securities under the second category in Table 1
280	With residual term ≤ 6 months
290	With a residual term > 6 months and ≤ 24 months
300	With a residual term > 24 months
310	Debt securities under the third category in Table 1
320	Debt securities under the fourth category in Table 1
321	Rated nth-to default credit derivatives
325	Own funds requirement for securitisation instruments
330	Own funds requirement for the correlation trading portfolio
340	Particular approach for position risk in CIUs
350	Additional requirements for options (non-delta risks)
360	Simplified method
370	Delta plus approach - additional requirements for gamma risk
380	Delta plus approach - additional requirements for vega risk
390	Scenario matrix approach