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).
Currency:
[F1POSITIONS | 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 | |||||||
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 | |||||||
385 | Delta plus approach – non-continuous options and warrants | |||||||
390 | Scenario matrix approach | ] |