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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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Changes to legislation:

Commission Implementing Regulation (EU) No 680/2014 is up to date with all changes known to be in force on or before 23 July 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations. Help about Changes to Legislation

EUR 2014 No. 680 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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Changes and effects yet to be applied to Annex II Table 50:

  • Regulation revoked by 2023 c. 29 Sch. 1 Pt. 1 3
  • Regulation revoked by S.I. 2021/1078, reg. 13(2)(aa) (as inserted) by S.I. 2021/1376 reg. 32(7)(a)(i) (This amendment not applied to legislation.gov.uk. The affected provision Pt. 2 (PRA) was modified by a non-legislative instrument (Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019) and is not present in the text of the retained EU legislation. Details of the non-legislative modifications can be found on the Bank of England's website on the page entitled 'The Bank of England's amendments to financial services legislation under the European Union (Withdrawal) Act 2018')

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Columns
030-040
Value at Risk (VaR)

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

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

Point (a)(ii) of Article 364(1) and Article 365(1) CRR

040
Previous day VaR (VaRt-1)

Point (a)(i) of Article 364(1) and Article 365(1) CRR

050-060
Stressed VaR

Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific 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)

Point (b)(ii) of Article 364(1) and Article 365(1) CRR

060
Latest available (SVaRt-1)

Point (b)(i) of Article 364(1) and Article 365(1) CRR

070-080
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

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

070
12 weeks average measure

Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

080
Last Measure

Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR

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

Point (c) of Article 364(3) CRR

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

100-110
12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Point (b) of Article 364(3) CRR

110
LAST MEASURE

Point (a) of Article 364(3) CRR

120
OWN FUNDS REQUIREMENTS

Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where 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 to Article 364(2) CRR

130
TOTAL RISK EXPOSURE AMOUNT

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5

140
Number of overshootings (during previous 250 working days)

Referred to in Article 366 CRR

The number of overshootings based on which the addend is determined shall be reported.

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

As referred to in Article 366 CRR

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

The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates 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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