Commission Implementing Regulation (EU) No 680/2014Show full title

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.
090-110	ALL 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. 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 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.]