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Commission Implementing Regulation (EU) No 680/2014Show full title
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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- 2014 No. 680
- ANNEX I
- Annex I Table 34
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- Revised 01/06/202027.32 MB
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- Revised 10/09/201616.23 MB
- Revised 20/04/201614.70 MB
- Revised 25/03/20169.95 MB
- Revised 01/06/20159.09 MB
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Commission Implementing Regulation (EU) No 680/2014,
C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
is up to date with all changes known to be in force on or before 05 November 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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[F1C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
ANNEX I Table 34: rows 1 - 25
| [F1CATEGORY LEVEL AVA | TOTAL AVA | UPSIDE UNCERTAINTY | FAIR-VALUED ASSETS AND LIABILITIES | QTD REVENUE | IPV DIFFERENCE | FAIR VALUE ADJUSTMENTS | DAY 1 P&L | EXPLANATION DESCRIPTION | |||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MARKET PRICE UNCERTAINTY | CLOSE-OUT COSTS | MODEL RISK | CONCENTRATED POSITIONS | FUTURE ADMINISTRATIVE COSTS | EARLY TERMINATION | OPERATIONAL RISK | FAIR-VALUED ASSETS | FAIR-VALUED LIABILITIES | MARKETPRICEUNCER-TAINTY | CLOSE-OUT COSTS | MODELRISK | CONCEN-TRATEDPOSITIONS | UNEARNED CREDIT SPREADS | INVESTING ANDFUNDING COSTS | FUTURE ADMINIS-TRATIVE COSTS | EARLY TERMI-NATION | OPERA- TIONALRISK | ||||||||||||
| OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH | |||||||||||||||||||||||||||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0210 | 0220 | 0230 | 0240 | 0250 | 0260 | 0270 | |||
| 0010 | 1 | TOTAL CORE APPROACH | |||||||||||||||||||||||||||
| 0020 | OF WHICH: TRADING BOOK | ||||||||||||||||||||||||||||
| 0030 | 1.1 | PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION | |||||||||||||||||||||||||||
| 0040 | 1.1.1 | TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION | |||||||||||||||||||||||||||
| 0050 | 1.1.1* | OF WHICH: UNEARNED CREDIT SPREADS AVA | |||||||||||||||||||||||||||
| 0060 | 1.1.1** | OF WHICH: INVESTMENT AND FUNDING COSTS AVA | |||||||||||||||||||||||||||
| 0070 | 1.1.1*** | OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) | |||||||||||||||||||||||||||
| 0080 | 1.1.1**** | OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3) | |||||||||||||||||||||||||||
| 0090 | 1.1.1.1 | INTEREST RATES | |||||||||||||||||||||||||||
| 0100 | 1.1.1.2 | FOREIGN EXCHANGE | |||||||||||||||||||||||||||
| 0110 | 1.1.1.3 | CREDIT | |||||||||||||||||||||||||||
| 0120 | 1.1.1.4 | EQUITIES | |||||||||||||||||||||||||||
| 0130 | 1.1.1.5 | COMMODITIES | |||||||||||||||||||||||||||
| 0140 | 1.1.2 | (-) DIVERSIFICATION BENEFITS | |||||||||||||||||||||||||||
| 0150 | 1.1.2.1 | (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1 | |||||||||||||||||||||||||||
| 0160 | 1.1.2.2 | (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 | |||||||||||||||||||||||||||
| 0170 | 1.1.2.2* | MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2 | |||||||||||||||||||||||||||
| 0180 | 1.2 | PORTFOLIOS UNDER THE FALL-BACK APPROACH | |||||||||||||||||||||||||||
| 0190 | 1.2.1 | 100% OF NET UNREALISED PROFIT | |||||||||||||||||||||||||||
| 0200 | 1.2.2 | 10% OF NOTIONAL VALUE | |||||||||||||||||||||||||||
| 0210 | 1.2.3 | 25% OF INCEPTION VALUE | ] | ||||||||||||||||||||||||||
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