Division 5.7.2 Instructions concerning specific positionsF1

VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.

Point (a)(ii) of Article 364(1) and Article 365(1) CRR

Point (a)(i) of Article 364(1) and Article 365(1) CRR

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.

Point (b)(ii) of Article 364(1) and Article 365(1) CRR

Point (b)(i) of Article 364(1) and Article 365(1) CRR

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.

Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

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.

Point (b) of Article 364(3) CRR

Point (a) of Article 364(3) CRR

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

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5

Referred to in Article 366 CRR

The number of overshootings based on which the addend is determined shall be reported.

As referred to in Article 366 CRR

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.

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.

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.

General risk component as referred to in Article 362 CRR

Specific risk component as referred to in Article 362 CRR

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.

General risk component as referred to in Article 362 CRR

Specific risk component as referred to in Article 362 CRR

Articles 363(1) and point (b) of Article 367(2) CRR

Articles 363(1) and point (d) of Article 367(2) CRR

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)

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)