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| 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.
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| 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
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| 040 | Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR
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| 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.
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| 050 | Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR
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| 060 | Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR
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| 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.
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| 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
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| 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
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| 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.
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| 100-110 | 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR
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| 110 | LAST MEASURE Point (a) of Article 364(3) CRR
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| 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
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| 130 | TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR.
Result of the multiplication of the own funds requirements by 12,5
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| 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.
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| 150-160 | VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR
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| 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.]
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