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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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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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