[F1 ANNEX I U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

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).

C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)

ANNEX I Table 31: rows 1 - 15

		[F1 Value 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																]