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| 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 according to Article 92(3) point (b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.
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| 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, if applicable.
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| 013 | Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions.
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| 020-200 | MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach according to Article 339(1) to (8) of CRR and the correspondent own funds requirements set up in Article 339(9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.
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| 210-240 | GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach according to Article 340(1) to (6) of CRR and the correspondent own funds requirements set up in Article 340(7) of CRR. The position shall be split by zones 1, 2 and 3.
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| 250 | SPECIFIC RISK Sum of amounts reported in rows 251, 325 and 330.
Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92(3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327(1) of CRR.
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| 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 has to be computed by summing up the risk weights of the reference entities (Article 332(1) point (e) para 1 and 2 CRR – ‘ look-through ’ ). N-th-to-default credit derivatives which are rated externally (Article 332(1) point (e) para 3 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 according to Article 129(3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity.
If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.
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| 325 | Own funds requirement for securitisation instruments Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.
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| 330 | Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.
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| 350-390 | ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) of CRR.
The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.]
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