Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn

Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

[F1C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

ANNEX I Table 32: rows 1 - 7

[F1EXPOSURE VALUE VaR STRESSED VaR OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS
of which: OTC Derivatives of which:SFT MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg ) PREVIOUS DAY(VaR t-1 ) MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg ) LATEST AVAILABLE (SVaR t-1 ) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS
010 020 030 040 050 060 070 080 090 100 110 120 130 140
010 CVA risk total Link to {CA2;r640;c010}
020 According to Advanced method Link to {CA2;r650;c010}
030 According to Standardised method Link to {CA2;r660;c010}
040 Based on OEM Link to {CA2;r670;c010} ]

Textual Amendments