See Full Document Text
Official Journal EN
of the European Union L series
2025/2159 31.10.2025
COMMISSION IMPLEMENTING REGULATION(EU) 2025/2159
of 27 October 2025
amending the implementing technical standards laid down in Implementing
Regulation (EU) 2021/2284 as regards supervisory reporting and disclosures of investment firms
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the
prudential requirements for investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU)
No 600/2014 and (EU) No 806/2014(1), and in particular Article 54(3) thereof,
Whereas:
(1) Commission Implementing Regulation (EU) 2021/2284(2) introduced the regulatory reporting framework for the
prudential regime of investment firms under Regulation (EU) 2019/2033. Article 5 of Implementing Regulation
(EU) 2021/2284 on the format and frequency of reporting by investment firms other than small and non-
interconnected investment firms, cross refers Commission Implementing Regulation (EU) 2021/451(3).
(2) Due to the changes introduced by Regulation (EU) 2024/1623 of the European Parliament and of the Council(4)into
Regulation (EU) No 575/2013 of the European Parliament and of the Council(5), the reporting framework set out in
Implementing Regulation (EU) 2021/451 has been revised. As a consequence, that Implementing Regulation has
been repealed and replaced by Commission Implementing Regulation (EU) 2024/3117(6).
(3) To provide investment firms with sufficient time to adapt their own internal system and to comply with the revised
reporting requirements, a derogation should be laid down deferring the remittance date of the first quarterly
reporting obligation after the date of application of this Regulation.
(4) Some elements of the revision introduced by Implementing Regulation (EU) 2024/3117 should be reflected in the
reporting requirements applicable to investment firms, while other elements are not supposed to be amended. More
specifically, the reporting on counterparty credit and credit valuation risks should be the same for investment firms
that choose to apply the relevant provisions of Regulation (EU) No 575/2013 and credit institutions. By contrast, the
reporting on own funds requirements for market risk, respectively K-factor ‘net position risk’ (K-NPR), should differ
between credit institutions and investment firms, in light of the modifications introduced by Implementing
(1) OJ L 314, 5.12.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/2033/oj.
(2) Commission Implementing Regulation (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the
application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and
disclosures of investment firms (OJ L 458, 22.12.2021, p. 48, ELI: http://data.europa.eu/eli/reg_impl/2021/2284/oj).
(3) Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the
application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of
institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1, ELI: http://data.europa.eu/eli/
reg_impl/2021/451/oj).
(4) Regulation (EU) 2024/1623 of the European Parliament and of the Council of 31 May 2024 amending Regulation (EU) No 575/2013
as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (OJ L,
2024/1623, 19.6.2024, ELI: http://data.europa.eu/eli/reg/2024/1623/oj) .
(5) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit
institutions and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).
(6) Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 laying down implementing technical standards for the
application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of
institutions and repealing Commission Implementing Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.
europa.eu/eli/reg_impl/2024/3117/oj).
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 1/31EN
OJ L, 31.10.2025
Regulation (EU) 2024/3117 for credit institutions, such as the introduction of multiplication factors and other minor
adjustments. Investment firms should apply and report on the own funds requirements for market risk as laid down
in Part Three, Title IV, of Regulation (EU) No 575/2013 in the version in force on 26 June 2019 prior to the
modifications introduced by Regulation (EU) 2019/876 of the European Parliament and of the Council(7).
(5) To ensure coherence between the credit institutions reporting framework and the investment firms reporting
framework where the regulatory framework applied is the same, and provide for specific rules where the regulatory
framework applicable to investment firms and credit institutions is different, Article 5 of Implementing Regulation
(EU) 2021/2284 should be amended.
(6) To facilitate compliance with the reporting requirements, the minimum precision requirements laid down in Article 8
of Implementing Regulation (EU) 2021/2284 should be adjusted.
(7) Implementing Regulation (EU) 2021/2284 should therefore be amended accordingly.
(8) This Regulation is based on the draft implementing technical standards submitted to the Commission by the
European Banking Authority (EBA).
(9) Given that the amendments to Implementing Regulation (EU) 2021/2284 are based on Implementing Regulation
(EU) 2024/3117 and do not involve significant changes in substantive terms, in accordance with Article 15(1),
second subparagraph, of Regulation (EU) No 1093/2010 of the European Parliament and of the Council(8)the EBA
has not conducted open public consultations, nor analysed the potential related costs and benefits or requested the
opinion of the Banking Stakeholder Group established in accordance with Article 37 of that Regulation, considering
that it would be highly disproportionate in relation to the scope and impact of the draft implementing technical
standards,
HAS ADOPTED THIS REGULATION:
Article 1
Implementing Regulation (EU) 2021/2284 is amended as follows:
(1) in Article 2(1), the following second subparagraph is added:
‘By way of derogation from the first subparagraph, investment firms other than small and non-interconnected
investment firms shall submit the information set out in template C 25.01 of Annex I to Commission Implementing
Regulation (EU) 2024/3117(*)for any reference dates between January and April 2026 by 30 June 2026 at the latest.
_____________
(*) Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 laying down implementing
technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the
Council with regard to supervisory reporting of institutions and repealing Commission Implementing
Regulation (EU) 2021/451 (OJ L, 2024/3117, 27.12.2024, ELI: http://data.europa.eu/eli/reg_impl/2024/
3117/oj).’;
(7) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as
regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk,
market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and
disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj).
(8) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European
Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission
Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).
2/31 ELI: http://data.europa.eu/eli/reg_impl/2025/2159/ojEN
OJ L, 31.10.2025
(2) in Article 5, paragraphs 2, 3 and 4 are replaced by the following:
‘2. Investment firms other than small and non-interconnected investment firms that determine the RtM K-factor
requirement on the basis of K-NPR in accordance with Article 21(1) of Regulation (EU) 2019/2033 shall report with
a quarterly frequency the information specified in templates C 18.00 to C 24.00 of Annex X to this Regulation in
accordance with the instructions set out in Annex XI to this Regulation.
3. Investment firms other than small and non-interconnected investment firms that make use of the derogation
laid down in Article 25(4) of Regulation (EU) 2019/2033 shall report with a quarterly frequency the information
specified in template C 34.02 of Annex I to Implementing Regulation (EU) 2024/3117, with the exception of the
information on the output floor, in accordance with the applicable instructions.
4. Investment firms other than small and non-interconnected investment firms that make use of the derogation
laid down in Article 25(5), second subparagraph, of Regulation (EU) 2019/2033 shall report with a quarterly
frequency the information specified in template C 25.01 of Annex I to Implementing Regulation (EU) 2024/3117 in
accordance with the applicable instructions.’;
(3) in Article 8, paragraph 1, point (b), point (i) is replaced by the following:
‘(i) data points with the data type “Monetary” shall be reported using a minimum precision equivalent to ten
thousands of units’;
(4) the text in Annex I to this Regulation is added as Annex X;
(5) the text in Annex II to this Regulation is added as Annex XI.
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the
European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 27 October 2025.
For the Commission
The President
Ursula VON DER LEYEN
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 3/31ANNEX I
‘ANNEX X
REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR
INVESTMENT FIRMS TEMPLATES
Template Template
Name of the template /group of templates Short name
number code
MARKET RISK MKR
18 C 18.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS MKR SA TDI
19 C 19.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS MKR SA SEC
20 C 20.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO MKR SA CTP
21 C 21.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES MKR SA EQU
22 C 22.00 MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK MKR SA FX
23 C 23.00 MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES MKR SA COM
24 C 24.00 MARKET RISK INTERNAL MODELS MKR IM
4/31
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31.10.2025C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
POSITIONS
TOTAL RISK
ALL POSITIONS NET POSITIONS POSITIONS OWN FUNDS
EXPOSURE
SUBJECT TO REQUIREMENTS
AMOUNT
CAPITAL
LONG SHORT LONG SHORT
CHARGE
0010 0020 0030 0040 0050 0060 0070
Cell linked to
0010
TRADED DEBT INSTRUMENTS IN TRADING BOOK CA2
0011 General risk
0012 Derivatives
0013 Other assets and liabilities
0020 Maturity-based approach
0030 Zone 1
0040 0 ≤ 1 month
0050 > 1 ≤ 3 months
0060 > 3 ≤ 6 months
0070 > 6 ≤ 12 months
0080 Zone 2
0090 > 1 ≤ 2 (1,9 for cupon of less than 3%) years
0100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years
0110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years
0120 Zone 3
0130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years
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ENPOSITIONS
TOTAL RISK
ALL POSITIONS NET POSITIONS POSITIONS OWN FUNDS
EXPOSURE
SUBJECT TO REQUIREMENTS
AMOUNT
CAPITAL
LONG SHORT LONG SHORT
CHARGE
0010 0020 0030 0040 0050 0060 0070
0140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years
0150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years
0160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years
0170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years
0180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years
0190 (> 12,0 ≤ 20,0 for cupon of less than 3%) years
0200 (> 20 for cupon of less than 3%) years
0210 Duration-based approach
0220 Zone 1
0230 Zone 2
0240 Zone 3
0250 Specific risk
0251 Own funds requirement for non-securitisation debt instruments
0260 Debt securities under the first category in Table 1
0270 Debt securities under the second category in Table 1
0280 With residual term ≤ 6 months
0290 With a residual term > 6 months and ≤ 24 months
0300 With a residual term > 24 months
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EN
OJ
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31.10.2025POSITIONS
TOTAL RISK
ALL POSITIONS NET POSITIONS POSITIONS OWN FUNDS
EXPOSURE
SUBJECT TO REQUIREMENTS
AMOUNT
CAPITAL
LONG SHORT LONG SHORT
CHARGE
0010 0020 0030 0040 0050 0060 0070
0310 Debt securities under the third category in Table 1
0320 Debt securities under the fourth category in Table 1
0321 Rated nth-to default credit derivatives
0325 Own funds requirement for securitisation instruments
0330 Own funds requirement for the correlation trading portfolio
0350 Additional requirements for options (non-delta risks)
0360 Simplified method
0370 Delta plus approach - additional requirements for gamma risk
0380 Delta plus approach - additional requirements for vega risk
0385 Delta plus approach - non-continuous options and warrants
0390 Scenario matrix approach
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ENC 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
OVERALL EFFECT
(-) POSITIONS (ADJUSTMENT) DUE
ALL POSITIONS FD RE OD MU C OT WED N NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF TH AE P N PRET O APO CHSI ET SION ACCORDING TO TO I CN HFR AI PN TG EE RM 2E ON FT OF
FUNDS REGULATION
(EU) 2017/2402
AFTER CAP /
TRS EP AEC TI MFI EC
N T
BE CF AO PRE TO RET F QA U UL N IO D RW EN
LONG SHORT LO(- N) G SH( O-) R T LONG SHORT 1[ 00 % - [ 1[1 20 % - [ 2[1 02 % - [ 4[2 00 % - [ 1[ 04 00 % - [ 1[1 50 00 % - [ 2[1 05 00 % - [ 2[2 20 50 % - [ 2[2 52 05 % - [ 3[2 05 00 % - [ 3[3 50 00 % - [ 4[3 25 50 % - [ 5[4 02 05 % - [ 6[5 50 00 % - [ 7[6 55 00 % - [ 8[7 55 00 % - [ 1[ 28 55 00 % - [ 1 250% 1[ 00 % - [ 1[1 20 % - [ 2[1 02 % - [ 4[2 00 % - [ 1[ 04 00 % - [ 1[1 50 00 % - [ 2[1 05 00 % - [ 2[2 20 50 % - [ 2[2 52 05 % - [ 3[2 05 00 % - [ 3[3 50 00 % - [ 4[3 25 50 % - [ 5[4 02 05 % - [ 6[5 50 00 % - [ 7[6 55 00 % - [ 8[7 55 00 % - [ 1[ 28 55 00 % - [ 1 250% IS RE BC A- S SE AC- ES RE BC A- AIN PA PT MS RE S ER OE NN S ATSA C L H QF TO URR AA NLS ON I PE C FF EN Y H I IO E NSR G 1O ( 2RT 5H W 0E %=R ) W PN OEE STIG I TLH IO OT NE NGD S NW PE OE T SI G IS THH IOOTE NRD ST MENTS
SECURITI-
SATIONS
0010 0020 0030 0040 0050 0060 0061 0062 0063 0064 0065 0066 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0083 0085 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0098 0099 0101 0102 0103 0104 0402 0403 0404 0405 0900 0406 0530 0540 0570 0601
Cell linked
0010 TOTAL EXPOSURES t To D M I KR SA
{325:060}
0020 RO Ef -w SEh Cic Uh R: ITISATIONS
0030 TO OR TIG AI LN EA XT PO OR S: U RES
0040 SECURITISATIONS
OF WHICH:
QUALIFYING FOR
0041 DIFFERENTIATED
CAPITAL
TREATMENT
0050 RE-SECURITISATIONS
0060 EIN XV PE OS ST UO RR E: S TOTAL
0070 SECURITISATIONS
OF WHICH:
QUALIFYING FOR
0071 DIFFERENTIATED
CAPITAL
TREATMENT
0080 RE-SECURITISATIONS
0090 ESP XO PON SS UO RR E: STOTAL
0100 SECURITISATIONS
OF WHICH:
QUALIFYING FOR
0101 DIFFERENTIATED
CAPITAL
TREATMENT
0110 RE-SECURITISATIONS
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31.10.2025C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
(-) POSITIONS
ALL POSITIONS FD RE OD MU C OT WED N NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF TH AE P N PRET O P AO CS HI ET SION ACCORDING TO BEFORE CAP AFTER CAP
FUNDS
SPECIFIC TOTAL OWN
TREATMENT FUNDS
LONG SHORT LO(- N) G SH( O-) R T LONG SHORT 1[ 00 % - [ 1[1 20 % - [ 2[1 02 % - [ 4[2 00 % - [ 1[ 04 00 % - [ 2[1 50 00 % - [ 3[2 55 00 % - [ 4[3 25 50 % - [ 6[4 52 05 % - [ 1[ 26 55 00 % - [ 1 250% 1[ 00 % - [ 1[1 20 % - [ 2[1 02 % - [ 4[2 00 % - [ 1[ 04 00 % - [ 2[1 50 00 % - [ 3[2 55 00 % - [ 4[3 25 50 % - [ 6[4 52 05 % - [ 1[ 26 55 00 % - [ 1 250% IS RE BC A- SEC-SA ES RE BC A- AIN PA PT MS RE S ER OE NN S ATSA C - L H QF TO URR AA NLS ON I PE FC F EN Y H I IO E NSR G 1O ( 2RT 5H W 0E %=R ) W PN OEE STIG I TLH IO OT NE NGD S NW POEE T SI G IS THH IOOTE NRD ST W PN OEE STIG I TLH IO OT NE NGD S NW POEE T SI G IS THH IOOTE NRD ST RE MQ EU NI TR SE-
SECURITI-
SATIONS
0010 0020 0030 0040 0050 0060 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0402 0403 0404 0405 0900 0406 0410 0420 0430 0440 0450
Cell linked to
TOTAL
0010 MKR SA TDI
EXPOSURES
{0330:0060}
SECURITISATION POSITIONS:
ORIGINATOR:
0020 TOTAL
EXPOSURES
SECURITISA
0030
TIONS
OTHER CTP
0040
POSITIONS
INVESTOR:
0050 TOTAL
EXPOSURES
SECURITISA
0060
TIONS
OTHER CTP
0070
POSITIONS
SPONSOR:
0080 TOTAL
EXPOSURES
SECURITISA
0090
TIONS
OTHER CTP
0100
POSITIONS
N-TH-TO-DEFAULT CREDIT DERIVATIVES:
N-TH-TO-
DEFAULT
0110
CREDIT
DERIVATIVES
OTHER CTP
0120
POSITIONS
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ENC 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
POSITIONS
TOTAL RISK
OWN FUNDS
ALL POSITIONS NET POSITIONS POSITIONS EXPOSURE
REQUIREMENTS
SUBJECT TO AMOUNT
LONG SHORT LONG SHORT CAPITAL CHARGE
0010 0020 0030 0040 0050 0060 0070
Cell linked to
0010 EQUITIES IN TRADING BOOK
CA
0020 General risk
0021 Derivatives
0022 Other assets and liabilities
Exchange traded stock-index futures broadly
0030
diversified subject to particular approach
Other equities than exchange traded stock-index
0040
futures broadly diversified
0050 Specific risk
0090 Additional requirements for options (non-delta risks)
0100 Simplified method
Delta plus approach - additional requirements for
0110
gamma risk
Delta plus approach - additional requirements for
0120
vega risk
Delta plus approach - non-continuous options and
0125
warrants
0130 Scenario matrix approach
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31.10.2025C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
POSITIONS SUBJECT TO CAPITAL
CHARGE
(Including redistribution of
ALL POSITIONS NET POSITIONS unmatched positions in non- OWN FUNDS TOTAL RISK
reporting currencies subject to REQUIREMENTS EXPOSURE
special treatment for matched AMOUNT
positions)
LONG SHORT LONG SHORT LONG SHORT MATCHED
0020 0030 0040 0050 0060 0070 0080 0090 0100
Cell linked to
0010 TOTAL POSITIONS
CA
0020 Currencies closely correlated
0025 of which: reporting currency
All other currencies (including CIUs treated as
0030
different currencies)
0040 Gold
Additional requirements for options (non-delta
0050
risks)
0060 Simplified method
Delta plus approach - additional requirements
0070
for gamma risk
Delta plus approach - additional requirements
0080
for vega risk
Delta plus approach - non-continuous options
0085
and warrants
0090 Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
Other assets and liabilities other than off-
0100
balance sheet items and derivatives
0110 Off-balance sheet items
0120 Derivatives
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ENPOSITIONS SUBJECT TO CAPITAL
CHARGE
(Including redistribution of
ALL POSITIONS NET POSITIONS unmatched positions in non- OWN FUNDS TOTAL RISK
reporting currencies subject to REQUIREMENTS EXPOSURE
special treatment for matched AMOUNT
positions)
LONG SHORT LONG SHORT LONG SHORT MATCHED
0020 0030 0040 0050 0060 0070 0080 0090 0100
Memorandum items: CURRENCY POSITIONS
0130 Euro
0140 Lek
0150 Argentine Peso
0160 Australian Dollar
0170 Brazilian Real
0180 Bulgarian Lev
0190 Canadian Dollar
0200 Czech Koruna
0210 Danish Krone
0220 Egyptian Pound
0230 Pound Sterling
0240 Forint
0250 Yen
0280 Denar
0290 Mexican Peso
0300 Zloty
0310 Rumanian Leu
0320 Russian Ruble
0330 Serbian Dinar
0340 Swedish Krona
0350 Swiss Franc
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EN
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CHARGE
(Including redistribution of
ALL POSITIONS NET POSITIONS unmatched positions in non- OWN FUNDS TOTAL RISK
reporting currencies subject to REQUIREMENTS EXPOSURE
special treatment for matched AMOUNT
positions)
LONG SHORT LONG SHORT LONG SHORT MATCHED
0020 0030 0040 0050 0060 0070 0080 0090 0100
0360 Turkish Lira
0370 Hryvnia
0380 US Dollar
0390 Iceland Krona
0400 Norwegian Krone
0410 Hong Kong Dollar
0420 New Taiwan Dollar
0430 New Zealand Dollar
0440 Singapore Dollar
0450 Won
0460 Yuan Renminbi
0470 Other
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ENC 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ALL POSITIONS NET POSITIONS POSITIONS
TOTAL RISK
SUBJECT TO OWN FUNDS
EXPOSURE
CAPITAL REQUIREMENTS
LONG SHORT LONG SHORT AMOUNT
CHARGE
0010 0020 0030 0040 0050 0060 0070
0010 TOTAL POSITIONS IN COMMODITIES Cell linked to CA
0020 Precious metals (except gold)
0030 Base metals
0040 Agricultural products (softs)
0050 Others
0060 Of which energy products (oil, gas)
0070 Maturity ladder approach
0080 Extended maturity ladder approach
0090 Simplified approach: All positions
0100 Additional requirements for options (non-delta risks)
0110 Simplified method
Delta plus approach - additional requirements for
0120
gamma risk
Delta plus approach - additional requirements for vega
0130
risk
Delta plus approach - non-continuous options and
0135
warrants
0140 Scenario matrix approach
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31.10.2025C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)
INCREMENTAL
DEFAULT AND ALL PRICE RISKS CAPITAL
VaR STRESSED VaR ASSUMED
MIGRATION RISK CHARGE FOR CTP ASSUMED
Number of CHARGE
CAPITAL CHARGE CHARGE
overshoot VaR SVaR FOR CTP
OWN TOTAL FOR CTP
ings during Multiplica Multipli FLOOR -
MULTIPLICA FUNDS RISK FLOOR -
MULTIPLICA previous tion cation WEIGHTED
TION FACTOR REQUIRE EXPOSURE WEIGHTED
TION FACTOR PRE LATEST 250 Factor Factor NET
(m) x 12 WEEKS LAST 12 WEEKS LAST MENTS AMOUNT NET LONG
(m) x AVERAGE VIOUS s AVAIL working (m) (m) SHORT
c AVERAGE OF AVERAGE MEA FLOOR AVERAGE MEA c s POSITIONS
OF PREVIOUS 60 DAY ABLE days POSITIONS
PREVIOUS 60 MEASURE SURE MEASURE SURE AFTER CAP
WORKING DAYS (VaR ) (SVaR ) AFTER CAP
t-1 WORKING t-1
(VaR )
avg DAYS (SVaR )
avg
0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180
TOTAL Cell linked
0010
POSITIONS to CA
Memorandum items: BREAKDOWN OF MARKET RISK
Traded debt
0020
instruments
TDI - General
0030
risk
TDI - Specific
0040
Risk
0050 Equities
Equities -
0060
General risk
Equities -
0070
Specific Risk
Foreign Exchange
0080
risk
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ENINCREMENTAL
DEFAULT AND ALL PRICE RISKS CAPITAL
VaR STRESSED VaR ASSUMED
MIGRATION RISK CHARGE FOR CTP ASSUMED
Number of CHARGE
CAPITAL CHARGE CHARGE
overshoot VaR SVaR FOR CTP
OWN TOTAL FOR CTP
ings during Multiplica Multipli FLOOR -
MULTIPLICA FUNDS RISK FLOOR -
MULTIPLICA previous tion cation WEIGHTED
TION FACTOR REQUIRE EXPOSURE WEIGHTED
TION FACTOR PRE LATEST 250 Factor Factor NET
(m) x 12 WEEKS LAST 12 WEEKS LAST MENTS AMOUNT NET LONG
(m) x AVERAGE VIOUS s AVAIL working (m) (m) SHORT
c AVERAGE OF AVERAGE MEA FLOOR AVERAGE MEA c s POSITIONS
OF PREVIOUS 60 DAY ABLE days POSITIONS
PREVIOUS 60 MEASURE SURE MEASURE SURE AFTER CAP
WORKING DAYS (VaR ) (SVaR ) AFTER CAP
t-1 WORKING t-1
(VaR )
avg DAYS (SVaR )
avg
0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180
0090 Commodities risk
Total amount for
0100
general risk
Total amount for
0110
specific risk’
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OJ
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31.10.2025EN
OJ L, 31.10.2025
ANNEX II
‘ANNEX XI
INSTRUCTIONS FOR REPORTING OF RtM K-FACTOR REQUIREMENT ON THE BASIS OF K-NPR
Table of Contents
PART I: GENERAL INSTRUCTIONS ............................................................................. 18
1. CONVENTIONS .......................................................................................... 18
1.1. Numbering convention .................................................................................. 18
1.2. Sign convention .......................................................................................... 18
1.3. References to Regulation (EU) No 575/2013 ........................................................... 18
PART II: TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES.............................. 18
1. GENERAL REMARKS.................................................................................... 18
2. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED
DEBT INSTRUMENTS (MKR SA TDI) .................................................................. 18
2.1. General Remarks ......................................................................................... 18
2.2. Instructions concerning specific positions ............................................................. 19
3. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN
SECURITISATIONS (MKR SA SEC)..................................................................... 20
3.1. General Remarks ......................................................................................... 20
3.2. Instructions concerning specific positions ............................................................. 21
4. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS
ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) ..................... 22
4.1. General Remarks ......................................................................................... 22
4.2. Instructions concerning specific positions ............................................................. 23
5. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES
(MKR SA EQU) ........................................................................................... 24
5.1. General Remarks ......................................................................................... 24
5.2. Instructions concerning specific positions ............................................................. 24
6. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK
(MKR SA FX).............................................................................................. 26
6.1. General Remarks ......................................................................................... 26
6.2. Instructions concerning specific positions ............................................................. 26
7. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR
SA COM) .................................................................................................. 28
7.1. General Remarks ......................................................................................... 28
7.2. Instructions concerning specific positions ............................................................. 28
8. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM) ............................................. 29
8.1. General Remarks ......................................................................................... 29
8.2. Instructions concerning specific positions ............................................................. 29
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 17/31EN
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PART I: GENERAL INSTRUCTIONS
1. CONVENTIONS
1.1. Numbering convention
1. The document follows the labelling convention set in points 2 to 5, when referring to the columns, rows and
cells of the templates. Those numerical codes are extensively used in the validation rules.
2. The following general notation is followed in the instructions: {Template; Row; Column}.
3. In the case of validations inside a template, in which only data points of that template are used, notations do
not refer to a template: {Row; Column}.
4. In the case of templates with only one column, only rows are referred to. {Template; Row}.
5. An asterisk sign is used to express that the validation is done for the rows or columns specified before.
1.2. Sign convention
6. Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On
the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a
negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected
to be reported for that item.
1.3. References to Regulation (EU) No 575/2013
7. All references to Articles 325 to Article 377 of Regulation (EU) No 575/2013 shall be read as references to the
version of that Regulation in force on 26 June 2019.
PART II: TEMPLATE RELATED INSTRUCTIONS: MARKET RISK TEMPLATES
1. GENERAL REMARKS
8. 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.
9. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two
components to calculate the capital required against that position risk. The first component shall cover its
specific-risk – 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 is laid down in Articles 326 to 333 of Regulation
(EU) No 575/2013.
2. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
2.1. General Remarks
10. This template captures the positions and the related own funds requirements for position risks on traded debt
instruments under the Standardised Approach (Article 325(2), point (a), of Regulation (EU) No 575/2013).
The different risks and methods available under Regulation (EU) No 575/2013 are considered by rows. The
specific risk associated with exposures included in MKR SA SEC and MKR SA CTP shall only be reported in the
Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be
transferred to cell {0325;0060} (securitisations) and {0330;0060} (CTP) respectively.
18/31 ELI: http://data.europa.eu/eli/reg_impl/2025/2159/ojEN
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11. This template shall be filled out separately for the “Total”, plus a pre-defined list of following currencies: EUR,
ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD
and one residual template for all other currencies.
2.2. Instructions concerning specific positions
Columns
0010-0020 ALL POSITIONS (LONG AND SHORT)
Article 102 and Article 105(1) of Regulation (EU) No 575/2013. Those are gross positions not
netted by instruments but excluding underwriting positions subscribed or sub-underwritten by
third parties in accordance with Article 345(1), first subparagraph, second sentence, of Regulation
(EU) No 575/2013. Regarding the distinction between long and short positions, also applicable to
those gross positions, see Article 328(2) of that Regulation.
0030-0040 NET POSITIONS (LONG AND SHORT)
Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction
between long and short positions, see Article 328(2) of that Regulation.
0050 POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, in accordance with the different approaches in Part Three, Title IV, Chapter
2, of Regulation (EU) No 575/2013, receive a capital charge.
0060 OWN FUNDS REQUIREMENTS
The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2, of
Regulation (EU) No 575/2013.
0070 TOTAL RISK EXPOSURE AMOUNT
Article 92(6), point (b), of Regulation (EU) No 575/2013. Result of the multiplication of the own
funds requirements by 12,5.
Rows
0010-0350 TRADED DEBT INSTRUMENTS IN TRADING BOOK
Positions in traded debt instruments in Trading Book and their corresponding own funds
requirements for position risk in accordance with Article 92(4), point (b)(i), of Regulation (EU)
No 575/2013 and of Part Three, Chapter 2, Title IV of that Regulation shall be reported depending
on risk category, maturity and approach used.
0011 GENERAL RISK
0012 Derivatives
Derivatives included in the calculation of interest rate risk of trading book positions, taking into
account Articles 328 to 331 of Regulation (EU) No 575/2013, where applicable.
0013 Other assets and liabilities
Instruments other than derivatives included in the calculation of interest rate risk of trading book
positions.
0020-0200 MATURITY BASED APPROACH
Positions in traded debt instruments subject to the maturity-based approach referred to in
Article 339(1) to (8) of Regulation (EU) No 575/2013 and the corresponding own funds
requirements calculated in accordance with Article 339(9) of that Regulation. The position shall be
split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.
0210-0240 GENERAL RISK. DURATION BASED APPROACH
Positions in traded debt instruments subject to the duration-based approach referred to in
Article 340(1) to (6) of Regulation (EU) No 575/2013 and the corresponding own funds
requirements calculated in accordance with Article 340(7) of that Regulation. The position shall be
split by zones 1, 2 and 3.
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0250 SPECIFIC RISK
Sum of amounts reported in rows 0251, 0325 and 0330.
Positions in traded debt instruments subject to the specific risk capital requirements and their
corresponding capital requirements in accordance with Article 92(3), point (b), Article 335,
Article 336(1), (2) and (3) and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also
aware of the last sentence in Article 327(1) of that Regulation.
0251-0321 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 (Article 332(1), point
(e), and Article 332(1), second subparagraph, of Regulation (EU) No 575/2013 – “look-through”).
N-th-to-default credit derivatives which are rated externally (Article 332(1), third subparagraph, of
Regulation (EU) No 575/2013) shall be reported separately in row 321.
Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special
treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with
Article 129(3) of that Regulation (covered bonds). The specific own funds requirements shall be
half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU)
No 575/2013. Those positions shall be assigned to rows 0280-0300 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 of Regulation (EU) No 575/2013 shall apply.
0325 Own funds requirement for securitisation instruments
Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own
funds requirements shall only be reported on Total level of the MKR SA TDI.
0330 Own funds requirement for the correlation trading portfolio
Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own
funds requirements shall only be reported on Total level of the MKR SA TDI.
0350-0390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 329(3) of Regulation (EU) No 575/2013.
The additional requirements for options related to non-delta risks shall be reported broken down by
the method used for their calculation.
3. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
3.1. General Remarks
12. 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.
13. The MKR SA SEC template presents the own funds requirement only for the specific risk of securitisation
positions in accordance with Article 335 of Regulation (EU) No 575/2013 in conjunction with Article 337 of
that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives,
Articles 346 and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all positions of
the trading book, irrespective of the approach investment firms apply to determine the risk weight for each of
the positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own
funds requirements of the general risk of those positions shall be reported in the MKR SA TDI or the MKR IM
template.
20/31 ELI: http://data.europa.eu/eli/reg_impl/2025/2159/ojEN
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14. Positions which receive a risk weight of 1 250 % may alternatively be deducted from CET1 (see Article 244(1),
point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be
reported in this template, even if the institution makes use of possibility to deduct.
3.2. Instructions concerning specific positions
Columns
0010-0020 ALL POSITIONS (LONG AND SHORT)
Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 337
of that Regulation (securitisation positions). Regarding the distinction between long and short
positions, also applicable to those gross positions, see Article 328(2) of that Regulation.
0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)
Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU)
No 575/2013
0050-0060 NET POSITIONS (LONG AND SHORT)
Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction
between long and short positions, see Article 328(2) of that Regulation.
0061-0104 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS
Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of
Regulation (EU) No 575/2013.
The breakdown shall be done separately for long and short positions.
0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES
Article 254 of Regulation (EU) No 575/2013
0402 SEC-IRBA
Article 259 and 260 of Regulation (EU) No 575/2013
0403 SEC-SA
Article 261 and 262 of Regulation (EU) No 575/2013
0404 SEC-ERBA
Article 263 and 264 of Regulation (EU) No 575/2013
0405 INTERNAL ASSESSMENT APPROACH
Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013.
0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE
SECURITISATIONS
Article 269a (3) of Regulation (EU) No 575/2013
0406 OTHER (RW = 1 250 %)
Article 254(7) of Regulation (EU) No 575/2013
0530-0540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF
REGULATION (EU) 2017/2402
Article 270a of Regulation (EU) No 575/2013
0570 BEFORE CAP
Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion set out
in Article 335 of that Regulation that allows an institution to cap the product of the weight and
the net position at the maximum possible default-risk related loss.
0601 AFTER CAP / TOTAL OWN FUND REQUIREMENTS
Article 337 of Regulation (EU) No 575/2013, taking into account the discretion set out in
Article 335 of that Regulation.
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Rows
0010 TOTAL EXPOSURES
Total amount of outstanding securitisations and re-securitisations (held in the trading book)
reported by the institution playing the role of originator or investor or sponsor.
0040, 0070 SECURITISATION POSITIONS
and 0100 Article 4(1), point (62), of Regulation (EU) No 575/2013.
0020, 0050, RE-SECURITISATIONS POSITIONS
0080 and 0110 Article 4(1), point (64), of Regulation (EU) No 575/2013
0041, 0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
and 0101 Total amount of securitisation positions which fulfil the criteria set out in Article 243 or
Article 270 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital
treatment.
0030-0050 ORIGINATOR
Article 4(1), point (13), of Regulation (EU) No 575/2013
0060-0080 INVESTOR
Credit institution that holds a securitisation position in a securitisation transaction for which it is
neither originator, sponsor nor original lender.
0090-0110 SPONSOR
Article 4(1), point (14), of Regulation (EU) No 575/2013.
A sponsor that also securitises its own assets shall fill in the originator’s rows with the
information regarding its own securitised assets.
4. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE
CORRELATION TRADING PORTFOLIO (MKR SA CTP)
4.1. General Remarks
15. 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) of Regulation (EU) No 575/2013) and the corresponding own funds requirements under the
Standardised Approach.
16. 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 of Regulation (EU) No 575/2013 in conjunction with Article 338(2)
and (3) of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346
and 347 of Regulation (EU) No 575/2013 apply. There is only one template for all CTP-positions of the
trading book, irrespective of the approach investment firms apply to determine the risk weight for each of the
positions in accordance with Part Three, Title II, Chapter 5, of Regulation (EU) No 575/2013. The own funds
requirements for the general risk of those positions are reported in the MKR SA TDI or the MKR IM template.
17. This template separates securitisation positions, n-th to default credit derivatives and other CTP-positions.
Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the
institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The
“other CTP-positions” are positions that are neither securitisation positions nor n-th to default credit
derivatives (see Article 338(3) of Regulation (EU) No 575/2013), but they are explicitly “linked” to one of
those two positions (because of the hedging intent).
18. Positions which receive a risk weight of 1 250 % may alternatively be deducted from CET1 (see Article 244(1),
point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). Those positions shall be
reported in this template, even if the institution makes use of possibility to deduct.
22/31 ELI: http://data.europa.eu/eli/reg_impl/2025/2159/ojEN
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4.2. Instructions concerning specific positions
Columns
0010-0020 ALL POSITIONS (LONG AND SHORT)
Article 102 and Article 105(1) of Regulation (EU) No 575/2013 in conjunction with Article 338(2)
and (3) of that Regulation (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) of Regulation (EU) No 575/2013.
0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)
Article 253 of Regulation (EU) No 575/2013
0050-0060 NET POSITIONS (LONG AND SHORT)
Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013
Regarding the distinction between long and short positions, see Article 328(2) of that Regulation.
0071-0097 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS
Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4, and Article 266 of
Regulation (EU) No 575/2013
0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES
Article 254 of Regulation (EU) No 575/2013
0402 SEC-IRBA
Articles 259 and 260 of Regulation (EU) No 575/2013
0403 SEC-SA
Articles 261 and 262 of Regulation (EU) No 575/2013
0404 SEC-ERBA
Articles 263 and 264 of Regulation (EU) No 575/2013
0405 INTERNAL ASSESSMENT APPROACH
Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013
0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE
SECURITISATIONS
Article 269a(3) of Regulation (EU) No 575/2013
0406 OTHER (RW=1 250 %)
Article 254(7) of Regulation (EU) No 575/2013
0410-0420 BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS
Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion set out in
Article 335 of that Regulation
0430-0440 AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS
Article 338 of Regulation (EU) No 575/2013, taking into account the discretion set out in
Article 335 of that Regulation
0450 TOTAL OWN FUNDS REQUIREMENTS
The own funds requirement is determined as the larger of either of the following:
(a) the specific risk charge that would apply just to the net long positions (column 0430);
(b) the specific risk charge that would apply just to the net short positions (column 0440).
Rows
0010 TOTAL EXPOSURES
Total amount of outstanding positions (held in the correlation trading portfolio) reported by the
institution playing the role of originator, investor or sponsor.
0020-0040 ORIGINATOR
Article 4(1), point (13), of Regulation (EU) No 575/2013
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0050-0070 INVESTOR
Credit institution that holds a securitisation position in a securitisation transaction for which it is
neither originator, sponsor nor original lender
0080-0100 SPONSOR
Article 4(1), point (14), of Regulation (EU) No 575/2013
A sponsor that also securitises its own assets shall fill in the originator’'s rows with the information
regarding its own securitised assets.
0030, 0060 SECURITISATION POSITIONS
and 0090 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 Article 338(2) and (3) of
Regulation (EU) No 575/2013.
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”.
0110 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 of Regulation (EU) No 575/2013 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 shall not be provided for n-th to default
credit derivatives.
0040, 0070, OTHER CTP POSITIONS
0100 The following positions are included:
and 0120 (a) derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging
CTP positions;
(b) CTP positions hedged by credit derivatives in accordance with Article 346 of Regulation (EU)
No 575/2013;
(c) other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.
5. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
5.1. General Remarks
19. 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.
20. This template shall be filled out separately for the “Total”, plus a static, pre-defined list of the following markets:
Bulgaria, 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 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)).
5.2. Instructions concerning specific positions
Columns
0010-0020 ALL POSITIONS (LONG AND SHORT)
Article 102 and Article 105(1) of Regulation (EU) No 575/2013.
Those are gross positions not netted by instruments but excluding underwriting positions
subscribed or sub-underwritten by third parties as referred to in Article 345(1), first subparagraph,
second sentence of that Regulation.
(1) 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, ELI: http://data.europa.eu/eli/reg_del/2014/525/oj).
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0030-0040 NET POSITIONS (LONG AND SHORT)
Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013.
0050 POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, in accordance with the different approaches considered in Part Three, Title
IV, Chapter 2, of Regulation (EU) No 575/2013 receive a capital charge. The capital charge shall be
calculated for each national market separately. Positions in stock-index futures as referred to
in 344(4), second sentence, of Regulation (EU) No 575/2013 shall not be included in this column.
0060 OWN FUNDS REQUIREMENTS
The own funds requirement in accordance with Part Three, Title IV, Chapter 2, of Regulation (EU)
No 575/2013 for any relevant position
0070 TOTAL RISK EXPOSURE AMOUNT
Article 92(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5.
Rows
0010-0130 EQUITIES IN TRADING BOOK
Own funds requirements for position risk as referred to in Article 92(3), point (b)(i), of Regulation
(EU) No 575/2013, and Part Three, Title IV, Chapter 2, Section 3, of that Regulation
0020-0040 GENERAL RISK
Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their
corresponding own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3,
of that Regulation
Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all
positions subject to general risk.
Rows 0021 and 0022 request information on the breakdown by instruments.
Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own
funds requirements.
0021 Derivatives
Derivatives included in the calculation of equity risk of trading book positions taking into account
Articles 329 and 332 of Regulation (EU) No 575/2013, where applicable
0022 Other assets and liabilities
Instruments other than derivatives included in the calculation of equity risk of trading book
positions.
0030 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(2)
Those positions shall be only subject to general risk and, accordingly, shall not be reported in row
0050.
0040 Other equities than exchange traded stock-index futures broadly diversified
Other positions in equities subject to specific risk and the corresponding own funds requirements
in accordance with Article 343 of Regulation (EU) No 575/2013, including positions in stock index
futures treated in accordance with Article 344(3) of that Regulation
(2) 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 (OJ L 265, 5.9.2014, p. 3, ELI: http://data.europa.eu/eli/reg_impl/2014/945/oj).
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 25/31EN
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0050 SPECIFIC RISK
Positions in equities subject to specific risk and the corresponding own funds requirement in
accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index
futures treated in accordance with Article 344(4), second sentence, of that Regulation
0090-0130 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 329(2) and (3) of Regulation (EU) No 575/2013
The additional requirements for options related to non-delta risks shall be reported in the method
used for its calculation.
6. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
6.1. General Remarks
21. Investment firms 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.
22. Rows 0100 to 0470 of this template shall be reported, where the investment firms have the permission to
perform activities 3 or 6 of Annex I, Section A, to Directive 2014/65/EU of the European Parliament and of
the Council(3), even where those investment firms are not required to calculate own funds requirements for
foreign exchange risk in accordance with Article 351 of Regulation (EU) No 575/2013. In those
memorandum items, all the positions in the reporting currency are included in rows 0100 to 0470,
irrespective of whether they are considered for the purposes of Article 354 of Regulation (EU) No 575/2013.
Rows 0130 to 0470 of the memorandum items of the template shall be filled out separately for all currencies
of the Member States of the Union, the currencies GBP, 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.
6.2. Instructions concerning specific positions
Columns
0020-0030 ALL POSITIONS (LONG AND SHORT)
Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1)
of Regulation (EU) No 575/2013
In accordance with Article 352(2) of Regulation (EU) No 575/2013 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) of that Regulation and positions related to items that
are already deducted in the calculation of own funds shall not be reported.
0040-0050 NET POSITIONS (LONG AND SHORT)
Article 352(3), Article 352(4), first two sentences, and Article 353 of Regulation (EU) No 575/2013
The net positions are calculated by each currency in accordance with Article 352(1) of that
Regulation. Consequently, both long and short positions may be reported at the same time.
0060-0080 POSITIONS SUBJECT TO CAPITAL CHARGE
Article 352(4), third sentence, and Articles 353 and 354 of Regulation (EU) No 575/2013
(3) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and
amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349, ELI: http://data.europa.eu/eli/dir/2014/
65/oj).
26/31 ELI: http://data.europa.eu/eli/reg_impl/2025/2159/ojEN
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0060-0070 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.
0080 POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)
Matched positions for closely correlated currencies.
0090 OWN FUNDS REQUIREMENTS
The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 3, of
Regulation (EU) No 575/2013
0100 TOTAL RISK EXPOSURE AMOUNT
Article 92(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5.
Rows
0010 TOTAL POSITIONS
All positions in non-reporting currencies and those positions in the reporting currency that are
considered for the purposes of Article 354 of Regulation (EU) No 575/2013 and their
corresponding own funds requirements for the foreign-exchange risk referred to in Article 92(3),
point (c)(i), of that Regulation, taking into account Article 352(2) and (4) of Regulation (EU)
No 575/2013 (for conversion into the reporting currency).
0020 CURRENCIES CLOSELY CORRELATED
Positions and their corresponding own funds requirements for closely correlated currencies as
referred to in Article 354 of Regulation (EU) No 575/2013.
0025 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 of Regulation (EU) No 575/2013.
0030 ALL OTHER CURRENCIES (including CIUs treated as different currencies)
Positions and their corresponding own funds requirements for currencies subject to the general
procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013.
Reporting of CIUs treated as separate currencies in accordance with Article 353 of Regulation (EU)
No 575/2013:
There are two different treatments of CIUs treated as separate currencies for calculating the capital
requirements:
(a) 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);
(b) where the direction of the CIUs 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 CIUs shall follow the calculation of the capital requirements.
0040 GOLD
Positions and their corresponding own funds requirements for currencies subject to the general
procedure referred to in Article 351 and Article 352(2) and (4) of Regulation (EU) No 575/2013
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 27/31EN
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0050 - 0090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 352(5) and (6) of Regulation (EU) No 575/2013
The additional requirements for options related to non-delta risks shall be reported broken down by
the method used for their calculation.
0100-0120 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.
0100 Other assets and liabilities other than off-balance sheet items and derivatives
Positions not included in row 0110 or 0120 shall be included here.
0110 Off-balance sheet items
Items within the scope of Article 352 of Regulation (EU) No 575/2013, irrespective of the currency
of denomination, which are included in Annex I to that Regulation, except those included as
Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross
Product Netting.
0120 Derivatives
Positions valued in accordance with Article 352 of Regulation (EU) No 575/2013.
0130-0470 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, GBP, 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.
Positions in gold and positions in CIUs treated as a separate currency in accordance with
Article 353(3) of Regulation (EU) No 575/2013 shall be included in row 0470.
7. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
7.1. General Remarks
23. This template request information on the positions in commodities and the corresponding own funds
requirements treated under the Standardised Approach.
7.2. Instructions concerning specific positions
Columns
0010-0020 All POSITIONS (LONG AND SHORT)
Gross long/short positions considered positions in the same commodity in accordance with
Article 357(4) of Regulation (EU) No 575/2013 (see also Article 359(1) of that Regulation)
0030-0040 NET POSITIONS (LONG AND SHORT)
As referred to in Article 357(3) of Regulation (EU) No 575/2013
0050 POSITIONS SUBJECT TO CAPITAL CHARGE
Those net positions that, in accordance with the different approaches considered in Part Three, Title
IV, Chapter 4, of Regulation (EU) No 575/2013 receive a capital charge.
0060 OWN FUNDS REQUIREMENTS
The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4, of
Regulation (EU) No 575/2013 for any relevant position
0070 TOTAL RISK EXPOSURE AMOUNT
Article 92(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5
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Rows
0010 TOTAL POSITIONS IN COMMODITIES
Positions in commodities and their corresponding own funds requirements for market risk
calculated in accordance with Article 92(4), point (c), of Regulation (EU) No 575/2013 and Part
Three, Title IV, Chapter 4, of that Regulation
0020-0060 POSITIONS BY CATEGORY OF COMMODITY
For reporting purposes, commodities shall be grouped in the four groups of commodities referred
to in Article 361, Table 2, of Regulation (EU) No 575/2013.
0070 MATURITY LADDER APPROACH
Positions in commodities subject to the maturity ladder approach referred to in Article 359 of
Regulation (EU) No 575/2013
0080 EXTENDED MATURITY LADDER APPROACH
Positions in commodities subject to the extended maturity ladder approach referred to in
Article 361 of Regulation (EU) No 575/2013
0090 SIMPLIFIED APPROACH
Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation
(EU) No 575/2013
0100-0140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)
Article 358(4) of Regulation (EU) No 575/2013
The additional requirements for options related to non-delta risks shall be reported in the method
used for its calculation.
8. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)
8.1. General Remarks
24. 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.
25. Generally, it depends on the structure of the model of the investment firms whether the figures for general and
specific risk may 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 may refrain from reporting those decompositions if that institution
proves that reporting those figures would be unduly burdensome.
8.2. Instructions concerning specific positions
Columns
0030-0040 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.
0030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)
Article 364(1), point (a)(ii), and Article 365(1) of Regulation (EU) No 575/2013
0040 Previous day VaR (VaRt-1)
Article 364(1), point (a)(i), and Article 365(1) of Regulation (EU) No 575/2013
0050-0060 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.
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 29/31EN
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0050 Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)
Article 364(1), point (b)(ii), and Article 365(1) of Regulation (EU) No 575/2013
0060 Latest available (SVaRt-1)
Article 364(1), point (b)(i), and Article 365(1) of Regulation (EU) No 575/2013
0070-0080 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 Article 364(2), point (b), in conjunction with Part Three, Title IV, Chapter 5, Section 4, of
Regulation (EU) No 575/2013.
0070 12 weeks average measure
Article 364(2), point (b)(ii), in conjunction with Part Three, Title IV, Chapter 5, Section 4, of
Regulation (EU) No 575/2013
0080 Last Measure
Article 364(2), point (b)(i), in conjunction with Part Three, Title IV, Chapter 5, Section 4, of
Regulation (EU) No 575/2013
0090-0110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP
0090 FLOOR
Article 364(3), point (c), of Regulation (EU) No 575/2013
8 % of the capital charge that would be calculated in accordance with Article 338(1) of Regulation
(EU) No 575/2013 for all positions in the “all price risks” capital charge.
0100-0110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE
Article 364(3), point (b), of Regulation (EU) No 575/2013
0110 LAST MEASURE
Article 364(3), point (a), of Regulation (EU) No 575/2013
0120 OWN FUNDS REQUIREMENTS
Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 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 securitisation capital charges for
securitisation and nth-to-default credit derivative according to Article 364(2) of that Regulation
0130 TOTAL RISK EXPOSURE AMOUNT
Article 92(6), point (b), of Regulation (EU) No 575/2013.
Result of the multiplication of the own funds requirements by 12,5
0140 Number of overshootings (during previous 250 working days)
Referred to in Article 366 of Regulation (EU) No 575/2013
The number of overshootings based on which the addend is determined shall be reported. Where
investment firms are permitted to exclude certain overshootings from the calculation of the addend
in accordance with Article 500c of Regulation (EU) No 575/2013, the number of overshootings
reported in this column shall be net of those excluded overshootings.
0150-0160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)
As referred to in Article 366 of Regulation (EU) No 575/2013
The multiplication factors effectively applicable for the calculation of own funds requirements shall
be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013.
0170-0180 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 Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account
the discretion set out in Article 335 of that Regulation 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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Rows
0010 TOTAL POSITIONS
Corresponds to the part of position, foreign exchange and commodities risk referred to in
Article 363(1) of Regulation (EU) No 575/2013 linked to the risk factors referred to in
Article 367(2) of that Regulation.
Concerning the columns 0030 to 0060 (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.
0020 TRADED DEBT INSTRUMENTS
Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU)
No 575/2013, linked to the interest rates risk factors referred to in Article 367(2), point (a), of that
Regulation.
0030 TDI – GENERAL RISK
General risk component as referred to in Article 362 of Regulation (EU) No 575/2013
0040 TDI – SPECIFIC RISK
Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013
0050 EQUITIES
Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU)
No 575/2013 linked to the equity risk factors referred to in Article 367(2), point (c), of that
Regulation.
0060 EQUITIES – GENERAL RISK
General risk component as referred to in Article 362 of Regulation (EU) No 575/2013
0070 EQUITIES – SPECIFIC RISK
Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013
0080 FOREIGN EXCHANGE RISK
Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013
0090 COMMODITY RISK
Articles 363(1) and Article 367(2), point (d), of Regulation (EU) No 575/2013
0100 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)
0110 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)’
ELI: http://data.europa.eu/eli/reg_impl/2025/2159/oj 31/31