[F1 ANNEX II 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).

PART II: TEMPLATE RELATED INSTRUCTIONS U.K.

5. MARKET RISK TEMPLATES U.K.

137. 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. U.K.

138. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component – 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 can be found in Articles 326 to 333 CRR. U.K.

5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) U.K.

5.1.1. General Remarks U.K.

139. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (Article 102 and Article 105(1) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively. U.K.

140. The template has to be filled out separately for the ‘ Total ’ , plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies. U.K.

5.1.2. Instructions concerning specific positions U.K.

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge.
060	OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR.
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .

Rows
010-350	TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used.
011	GENERAL RISK.
012	Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable.
013	Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
020-200	MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.
210-240	GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3.
250	SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR.
251-321	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 (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – ‘ look-through ’ ). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 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 CRR shall be applied.
325	Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
330	Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI.
350-390	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

5.2. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) U.K.

5.2.1. General Remarks U.K.

141. 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. U.K.

142. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM template. U.K.

143. Positions which receive a risk weight of 1 250  % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1. U.K.

5.2.2. Instructions concerning specific positions U.K.

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR
050-060	NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR.
061-104	BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions.
402-406	BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR
402	SEC-IRBA Article 259 and 260 CRR
403	SEC-SA Article 261 and 262 CRR
404	SEC-ERBA Article 263 and 264 CRR
405	INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR.
406	OTHER (RW = 1 250  %) Article 254(7) CRR
530-540	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a CRR
570	BEFORE CAP Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.
601	AFTER CAP/TOTAL OWN FUND REQUIREMENTS Article 337 CRR, taking into account the discretion of Article 335 CRR.

Rows
010	TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor.
040, 070 and 100	SECURITISATION POSITIONS Point 62 of Article 4(1) CRR.
020, 050, 080 and110	RE-SECURITISATIONS POSITIONS Point 64 of Article 4(1) CRR
041, 071 and 101	OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment.
030-050	ORIGINATOR Point (13) of Article 4(1) CRR
060-080	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender.
090-110	SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

5.3. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) U.K.

5.3.1. General Remarks U.K.

144. 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) CRR) and the corresponding own funds requirements under the Standardised Approach. U.K.

145. 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 CRR in conjunction with paragraphs 2 and 3 of Article 338 CRR. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template. U.K.

146. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 110. The ‘ other CTP-positions ’ are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly ‘ linked ’ to one of those two positions (because of the hedging intent). U.K.

147. Positions which receive a risk weight of 1 250  % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 460 of CA1. U.K.

5.3.2. Instructions concerning specific positions U.K.

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (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) CRR.
030-040	(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 CRR
050-060	NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR Regarding the distinction between long and short positions, see Article 328(2) CRR.
071-097	BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR
402-406	BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR
402	SEC-IRBA Articles 259 and 260 CRR
403	SEC-SA Articles 261 and 262 CRR
404	SEC-ERBA Articles 263 and 264 CRR
405	INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR.
406	OTHER (RW = 1 250  %) Article 254(7) CRR
410-420	BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, without taking into account the discretion of Article 335 CRR
430-440	AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, taking into account the discretion of Article 335 CRR
450	TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).

Rows
010	TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040	ORIGINATOR Point (13) of Article 4(1) CRR
050-070	INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender
080-100	SPONSOR Point (14) of Article 4(1) CRR A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.
030, 060 and 090	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 paragraphs 2 and 3 of Article 338 CRR. 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 ’ .
110	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 CRR 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 cannot be provided for n-th to default credit derivatives.
040, 070, 100 and 120	OTHER CTP POSITIONS The following positions are included: Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions; CTP positions hedged by credit derivatives in accordance with Article 346 CRR; Other positions that satisfy Article 338(3) CRR.

5.4. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) U.K.

5.4.1. General Remarks U.K.

148. 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. U.K.

149. The template has to be filled out separately for the ‘Total’, plus a static, pre-defined list of the following markets: Bulgaria, Croatia, 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 the purpose of 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) . U.K.

5.4.2. Instructions concerning specific positions U.K.

Columns
010-020	ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR.
030-040	NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR.
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column.
060	OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .

a 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
Rows
010-130	EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR.
020-040	GENERAL RISK Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 request information on the breakdown by instruments. Only the breakdown in rows 030 and 040 shall be used as a basis for the calculation of own funds requirements.
021	Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable
022	Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions.
030	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 a Those positions shall be only subject to general risk and, accordingly, must not be reported in row 050.
040	Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR
050	SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR
090-130	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) U.K.

5.5.1. General Remarks U.K.

150. Institutions 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. U.K.

151. Rows 100 to 480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies: 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. U.K.

5.5.2. Instructions concerning specific positions U.K.

Columns
020-030	ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR In accordance with Article 352(2) CRR 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) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.
040-050	NET POSITIONS (LONG AND SHORT) Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.
060-080	POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR
060-070	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.
080	POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies.
090	OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR
100	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 .

Rows
010	TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).
020	CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.
025	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 CRR.
030	ALL OTHER CURRENCIES (including CIU’s treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: 1. 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); 2. Where the direction of the CIU’s 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 CIU’s shall follow the calculation of the capital requirements.
040	GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR
050 – 090	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 5 and 6 of Article 352 CRR The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.
100-120	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.
100	Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
110	Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.
120	Derivatives Positions valued in accordance with Article 352 CRR.
130-480	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, 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.

5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) U.K.

5.6.1. General Remarks U.K.

152. This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach. U.K.

5.6.2. Instructions concerning specific positions U.K.

Columns
010-020	All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR)
030-040	NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR
050	POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge
060	OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position
070	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5

Rows
010	TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR
020-060	POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR.
070	MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR
080	EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR
090	SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 CRR
100-140	ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.7. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) U.K.

5.7.1. General Remarks U.K.

153. 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. U.K.

154. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can 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 can refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome. U.K.

5.7.2. Instructions concerning specific positions U.K.

Columns
030-040	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.
030	Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR
040	Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR
050-060	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.
050	Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR
060	Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR
070-080	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 point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.
070	12 weeks average measure Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
080	Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
090-110	ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090	FLOOR Point (c) of Article 364(3) CRR = 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the ‘ all price risks ’ capital charge.
100-110	12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR
110	LAST MEASURE Point (a) of Article 364(3) CRR
120	OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 CRR 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 Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR
130	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5
140	Number of overshootings (during previous 250 working days) Referred to in Article 366 CRR The number of overshootings based on which the addend is determined shall be reported.
150-160	VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR
170-180	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 point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR 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
010	TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. Concerning the columns 030 to 060 (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.
020	TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.
030	TDI – GENERAL RISK General risk component as referred to in Article 362 CRR
040	TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR
050	EQUITIES Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.
060	EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR
070	EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR
080	FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR
090	COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR
100	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)
110	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)

5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA) U.K.

5.8.1. Instructions concerning specific positions U.K.

Columns
010	Exposure value Article 271 CRR in conjunction with Article 382 CRR. Total EAD from all transactions subject to CVA charge.
020	Of which: OTC derivatives Article 271 CRR in conjunction with Article 382(1) CRR. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.
030	Of which: SFT Article 271 CRR in conjunction with Article 382(2) CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set.
040	MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk
050	PREVIOUS DAY (VaRt-1) See instructions for column 040.
060	MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 040
070	LATEST AVAILABLE (SVaRt-1) See instructions for column 040
080	OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method.
090	TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12,5 .
	Memorandum items
100	Number of counterparties Article 382 CRR Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.
110	Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data.
120	INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties.
130	SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk.
140	INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk.

Rows
010	CVA risk total Sum of rows 020-040
020	Advanced method Advanced CVA risk method as prescribed by Article 383 CRR
030	Standardised method Standardised CVA risk method as prescribed by Article 384 CRR
040	Based on OEM Amounts subject to the application of Article 385 CRR]

(1)

[F1 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 ).]

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).