EN.   C - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency: POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT TRADED DEBT INSTRUMENTS IN TRADING BOOK Cell linked to CA2 General risk Derivatives Other assets and liabilities Maturity-based approach Zone 1 0 ≤ 1 month > 1 ≤ 3 months > 3 ≤ 6 months > 6 ≤ 12 monthsEN  . POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Zone 2 > 1 ≤ 2 (1,9 for cupon of less than 3%) years > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years Zone 3 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years (> 12,0 ≤ 20,0 for cupon of less than 3%) years (> 20 for cupon of less than 3%) yearsEN.   POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Duration-based approach Zone 1 Zone 2 Zone 3 Specific risk Own funds requirement for non-securitisation debt instruments Debt securities under the first category in Table 1 Debt securities under the second category in Table 1 With residual term ≤ 6 months With a residual term > 6 months and ≤ 24 months With a residual term > 24 months Debt securities under the third category in Table 1 Debt securities under the fourth category in Table 1EN  . POSITIONS OWN FUNDS REQUIREME NTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT Rated nth-to default credit derivatives Own funds requirement for securitisation instruments Own funds requirement for the correlation trading portfolio Additional requirements for options (non-delta risks) Simplified method Delta plus approach - additional requirements for gamma risk Delta plus approach - additional requirements for vega risk Delta plus approach - non-continuous options and warrants Scenario matrix approach . C – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI). General Remarks 160. This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (point (a) of Article 325(2) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {;} (securitisations) and {;} (CTP) respectively. 161. The template has to be filled out separately for the ‘Total’, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.EN.  . Instructions concerning specific positions  - ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR. - NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR. POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge. OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR. TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows - TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used. GENERAL RISK. Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable. Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. - MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments.EN  . Rows - GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3. SPECIFIC RISK Sum of amounts reported in rows , and. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR. - 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 (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – ‘look-through’). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) 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 in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows - 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 CRR shall be applied. Own funds requirement for securitisation instruments Total own funds requirements reported in column of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. - ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.