Rapportage concentratierisico

The Dutch Central Bank DNB published a notification to investment firms that do not qualify as „small and non-interconnected investment firms“ (class 2 investment firms). These firms are required to complete the „details on trading book exposures (IFREP tab 08.05).
The DNB has observed that this tab is often left incomplete or filled out incorrectly.
Therefore, DNB is providing guidance on how to correctly fill out this tab.
According to Article 36 of the Investment Firm Regulation (IFR), the exposure related to concentration risk must be calculated. The exposure is calculated by:
1. Summing up:
– Regarding financial instruments (section 1a): the net positive position of long minus short positions following the K-NPR methodology
– Regarding specific OTC derivatives (section 1b, first sentence): the exposure calculated according to Article 27 of the IFR
Exceptions to this calculation method include:
– For financial instruments (section 1b, first paragraph): if the calculation of market risk uses the K-CMG method, the standardised approach of the K-NPR method must be used to calculate the exposure
– Regarding specific OTC derivatives, there is another exception in section 1b, second paragraph when a specific methodology is employed
For „Handelaren Eigen Rekening“ (HERs) (proprietary traders), the exposure value should be understood as „the exposure value on the underlying assets in the relevant transactions.“ This means that HERs need to consider the exposure related to the trading assets in their trading book.
Additionally, it’s important to note Article 37 about concentration risk limits, Article 38, and Article 39 of the IFR concerning reporting obligations and capital add-ons if the limits set in Article 37 of the IFR are exceeded.