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) (c. 680)

[F1 ANNEX II U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).

PART II: TEMPLATE RELATED INSTRUCTIONS U.K.

3. CREDIT RISK TEMPLATES U.K.

3.6. C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT) U.K.

3.6.2. Instructions concerning specific positions U.K.

Columns
010	UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020	PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020
030	OWN FUNDS REQUIREMENTS Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.
040	TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.]