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Commission Implementing Regulation (EU) No 680/2014Show full title
Commission Implementing Regulation (EU) No 680/2014of 16 April 2014laying 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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- Revised 01/12/201819.94 MB
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- Revised 01/01/201818.30 MB
- Revised 01/12/201616.46 MB
- Revised 10/09/201616.23 MB
- Revised 20/04/201614.70 MB
- Revised 25/03/20169.95 MB
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Changes over time for: ANNEX I
Alternative versions:
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Point in time view as at 31/12/2020.
Changes to legislation:
Commission Implementing Regulation (EU) No 680/2014,
ANNEX I
is up to date with all changes known to be in force on or before 24 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.
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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[F1ANNEX I U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
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).
ANNEX I Table 1: rows 1 - 50
C 01.00 – OWN FUNDS (CA1)
ANNEX I Table 2: rows 1 - 101
C 02.00 – OWN FUNDS REQUIREMENTS (CA2)
ANNEX I Table 3: rows 1 - 78
C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
ANNEX I Table 4: rows 1 - 17
C 04.00 – MEMORANDUM ITEMS (CA4)
ANNEX I Table 5: rows 1 - 128
C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)
ANNEX I Table 6: rows 1 - 62
C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
ANNEX I Table 7: rows 1 - 17
C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
ANNEX I Table 8: rows 1 - 6
C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
ANNEX I Table 9: rows 1 - 7
C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
SA Exposure class
ANNEX I Table 10: rows 1 - 41
C 08.01 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
ANNEX I Table 11: rows 1 - 27
C 08.02 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
ANNEX I Table 12: rows 1 - 6
C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
Country:
ANNEX I Table 13: rows 1 - 23
C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
Country:
ANNEX I Table 14: rows 1 - 19
C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
Country:
ANNEX I Table 15: rows 1 - 23
C 10.01 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
ANNEX I Table 16: rows 1 - 13
C 10.02 – CREDIT RISK: EQUITY – IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | ||
|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT | |||||||
| PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | ||||||
| 005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 |
C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
ANNEX I Table 18: rows 1 - 14
C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)
ANNEX I Table 19: rows 1 - 73
C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ANNEX I Table 20: rows 1 - 6
C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)
Approach:
ANNEX I Table 21: rows 1 - 7
C 16.00 – OPERATIONAL RISK (OPR)
ANNEX I Table 22: rows 1 - 18
C 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
ANNEX I Table 23: rows 1 - 95
C 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)
ANNEX I Table 24: rows 1 - 4
C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
Currency:
ANNEX I Table 25: rows 1 - 49
C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
ANNEX I Table 26: rows 1 - 17
C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ANNEX I Table 27: rows 1 - 17
C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
ANNEX I Table 28: rows 1 - 18
C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
ANNEX I Table 29: rows 1 - 54
C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
ANNEX I Table 30: rows 1 - 19
C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)
ANNEX I Table 31: rows 1 - 15
C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)
ANNEX I Table 32: rows 1 - 7
C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
ANNEX I Table 33: rows 1 - 24
C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
ANNEX I Table 34: rows 1 - 25
C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
ANNEX I Table 35: rows 1 - 4
C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
| RANK | RISK CATEGORY | PRODUCT | UNDERLYING | CONCENTRATED POSITION SIZE | SIZE MEASURE | MARKET VALUE | PRUDENT EXIT PERIOD | CONCENTRATED POSITIONS AVA | CONCENTRATED POSITION FAIR VALUE ADJUSTMENT | IPV DIFFERENCE |
|---|---|---|---|---|---|---|---|---|---|---|
| 0005 | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 |
C 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)
Country:]
ANNEX I Table 37: rows 1 - 31
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