Chwilio Deddfwriaeth

Chwiliad Uwch

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)

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When the UK left the EU, legislation.gov.uk published EU legislation that had been published by the EU up to IP completion day (31 December 2020 11.00 p.m.). On legislation.gov.uk, these items of legislation are kept up-to-date with any amendments made by the UK since then.

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Mae hon yn eitem o ddeddfwriaeth sy’n deillio o’r UE

Mae unrhyw newidiadau sydd wedi cael eu gwneud yn barod gan y tîm yn ymddangos yn y cynnwys a chyfeirir atynt gydag anodiadau.Ar ôl y diwrnod ymadael bydd tair fersiwn o’r ddeddfwriaeth yma i’w gwirio at ddibenion gwahanol. Y fersiwn legislation.gov.uk yw’r fersiwn sy’n weithredol yn y Deyrnas Unedig. Y Fersiwn UE sydd ar EUR-lex ar hyn o bryd yw’r fersiwn sy’n weithredol yn yr UE h.y. efallai y bydd arnoch angen y fersiwn hon os byddwch yn gweithredu busnes yn yr UE. EUR-Lex Y fersiwn yn yr archif ar y we yw’r fersiwn swyddogol o’r ddeddfwriaeth fel yr oedd ar y diwrnod ymadael cyn cael ei chyhoeddi ar legislation.gov.uk ac unrhyw newidiadau ac effeithiau a weithredwyd yn y Deyrnas Unedig wedyn. Mae’r archif ar y we hefyd yn cynnwys cyfraith achos a ffurfiau mewn ieithoedd eraill o EUR-Lex. The EU Exit Web Archive legislation_originated_from_EU_p3

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This legislation may since have been updated - see the latest available (revised) version

columns
030-040
VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

030
Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Articles 364 (1) point a) (ii) and 365 (1) of CRR.

040
Previous day VaR (VaRt-1)

Articles 364 (1) point a) (i) and 365 (1) of CRR.

050-060
Stressed VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio.

050
Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Articles 364 (1) point b) (ii) and 365 (1) of CRR.

060
Latest available (SVaRt-1)

Articles 364 (1) point b) (i) and 365 (1) of CRR.

070-080
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364 (2) point b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

070
12 weeks average measure

Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

080
Last Measure

Article 364 (2) point b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

090-110ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090
FLOOR

Article 364 (3) point (c) of CRR.

= 8 % of the capital charge that would be calculated in accordance with Article 338 (1) of CRR for all positions in the ’all price risks’ capital charge.

100-110
12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364 (3) point (b).

110
LAST MEASURE

Article 364 (3) point (a)

120
OWN FUNDS REQUIREMENTS

Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364 (2) of CRR.

130
TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

140
Number of overshootings (during previous 250 working days)

Referred to in Article 366 of CRR.

150-160
VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of CRR.

170-180
ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP

The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364 (3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

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Mae deddfwriaeth ar gael mewn fersiynau gwahanol:

Y Diweddaraf sydd Ar Gael (diwygiedig):Y fersiwn ddiweddaraf sydd ar gael o’r ddeddfwriaeth yn cynnwys newidiadau a wnaed gan ddeddfwriaeth ddilynol ac wedi eu gweithredu gan ein tîm golygyddol. Gellir gweld y newidiadau nad ydym wedi eu gweithredu i’r testun eto yn yr ardal ‘Newidiadau i Ddeddfwriaeth’.

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