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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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Commission Implementing Regulation (EU) No 680/2014 is up to date with all changes known to be in force on or before 03 October 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.
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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0010 - 0100 | CATEGORY LEVEL AVAThe category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9 to 11 and 14 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of the Delegated Regulation (EU) 2016/101 on prudent valuation, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of the Delegated Regulation (EU) 2016/101 on prudent valuation are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template]. For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as defined in Articles 9(5)(b), 10(6)(b) and 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation shall be separately reported in columns 20 , 40 and 60 . |
0010 | MARKET PRICE UNCERTAINTYArticle 105(10) CRR. Market price uncertainty AVAs computed according to Article 9 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0020 | OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACHMarket price uncertainty AVAs computed according to Article 9(5)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0030 | CLOSE-OUT COSTSArticle 105(10) CRR. Close-out costs AVAs computed according to Article 10 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0040 | OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACHClose-out costs AVAs computed according to Article 10(6)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0050 | MODEL RISKArticle 105(10) CRR Model risk AVAs computed according to Article 11 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0060 | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACHModel risk AVAs computed according to Article 11(4) of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0070 | CONCENTRATED POSITIONSArticle 105(11) CRR Concentrated positions AVAs as computed under Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0080 | FUTURE ADMINISTRATIVE COSTSArticle 105(10) CRR Future administrative costs AVAs as computed under Article 15 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0090 | EARLY TERMINATIONArticle 105(10) CRR Early termination AVAs as computed under Article 16 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0100 | OPERATIONAL RISKArticle 105(10) CRR Operational risk AVAs as computed under Article 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation. |
0110 | TOTAL AVARow 10 : total AVA to be deducted from own funds under Articles 34 and 105 CRR and reported accordingly in row 290 of C 01.00. The total AVA shall be the sum of rows 30 and 180 . Row 20 : Share of the total AVA reported in row 10 stemming from trading book positions (absolute value). Rows 30 to 160 : Sum of columns 10 , 30 , 50 and 70 to 100 . Rows 180 to 210 : Total AVA stemming from portfolios under the fall-back approach. |
0120 | UPSIDE UNCERTAINTYArticle 8(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 110 , but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. |
0130 -0140 | FAIR-VALUED ASSETS AND LIABILITIESAbsolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 10 to 130 and row 180 . For some rows, in particular rows 90 to 130 , these amounts may have to be approximated or allocated based on expert judgement. Row 10 : Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 70 and 80 . Row 10 is the sum of row 30 and row 180 . Row 20 : share of total absolute value of fair-valued assets and liabilities reported in row 10 stemming from trading book positions (absolute value). Row 30 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under Articles 9 to 17 of the Delegated Regulation (EU) 2016/101 on prudent valuation. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 70 and 80 . Row 30 shall be the sum of rows 90 to 130 . Row 50 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore. Row 60 : Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation, may not be considered exactly matching, offsetting anymore. Row 70 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of the Delegated Regulation (EU) 2016/101 on prudent valuation. Row 80 : Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of t the Delegated Regulation (EU) 2016/101 on prudent valuation. Rows 90 to 130 : Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) according to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. This includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value according to Article 9(2), 10(2) or 10(3) of the Delegated Regulation (EU) 2016/101 on prudent valuation, which are also separately reported in rows 70 and 80 . Row 180 : Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach |
0130 | FAIR-VALUED ASSETSAbsolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above. |
0140 | FAIR-VALUED LIABILITIESAbsolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above. |
0150 | QTD REVENUEThe quarter-to-date revenues ( ‘ QTD revenue ’ ) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment. |
0160 | IPV DIFFERENCEThe sum across all positions and risk factors of unadjusted difference amounts ( ‘ IPV difference ’ ) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) of CRR, with respect to the best available independent data for the relevant position or risk factor. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. |
0170 - 0250 | FAIR VALUE ADJUSTMENTSAdjustments, sometimes also referred to as ‘ reserves ’ , potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding Deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique, that are in a form of a risk premium or exit cost and are compliant with the definition of Fair value. They should nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88) |
0170 | MARKET PRICE UNCERTAINTYAdjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA. |
0180 | CLOSE-OUT COSTSAdjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the Close-out costs AVA. |
0190 | MODEL RISKAdjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks ( ‘ valuation model ’ ) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations, and thus that can be identified as addressing the same source of valuation uncertainty as the Model risk AVA. |
0200 | CONCENTRATED POSITIONSAdjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based, and thus that can be identified as addressing the same source of valuation uncertainty as the Concentrated positions AVA. |
0210 | UNEARNED CREDIT SPREADSAdjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment ‘ CVA ’ at institution level). |
0220 | INVESTING AND FUNDING COSTSAdjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment). |
0230 | FUTURE ADMINISTRATION COSTSAdjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA. |
0240 | EARLY TERMINATIONAdjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model, and thus that can be identified as addressing the same source of valuation uncertainty as the Early termination AVA. |
0250 | OPERATIONAL RISKAdjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus that can be identified as addressing the same source of valuation uncertainty as the Operational risk AVA. |
0260 | DAY 1 P&LAdjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A). |
0270 | EXPLANATION DESCRIPTIONDescription of the positions treated under Article 7(2)(b) of the Delegated Regulation (EU) 2016/101 on prudent valuation and the reason why it was not possible to apply Articles 9 to 17 thereof.] |
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