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 | Advanced method | Link to {CA2;r650;c010} | |||||||||||||
| 030 | Standardised method | Link to {CA2;r660;c010} | |||||||||||||
| 040 | Based on OEM | Link to {CA2;r670;c010} | ] | ||||||||||||
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 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).