Division 5.3.2 Instructions concerning specific positionsF1
United Kingdom
| 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:
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