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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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Commission Implementing Regulation (EU) No 680/2014 is up to date with all changes known to be in force on or before 09 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. Help about Changes to Legislation

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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Columns
010
Exposure value

Article 271 of CRR in accordance with article 382 of CRR

Total EAD from all transactions subject to CVA charge

020
Of which: OTC derivatives

Article 271 of CRR in accordance with Article 382(1) of CRR

The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

030
Of which: SFT

Article 271 of CRR in accordance with Article 382(2) of CRR

The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

040
MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of CRR in accordance with Article 363(1)(d) of CRR

VaR calculation based on internal models for market risk

050
PREVIOUS DAY (VaRt-1)

See instructions referring to column 040

060
MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions referring to column 040

070
LATEST AVAILABLE (SVaRt-1)

See instructions referring to column 040

080
OWN FUNDS REQUIREMENTS

Article 92(3) d) of CRR

Own funds requirements for CVA Risk calculated via the chosen method

090
TOTAL RISK EXPOSURE AMOUNT

Article 92(4) b) of CRR

Own funds requirements multiplied by 12,5.

Memorandum items
100
Number of counterparties

Article 382 of CRR

Number of counterparties included in calculation of own funds for CVA risk

Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.

110
Of which: proxy was used to determine credit spread

number of counterparties where the credit spread was determined using a proxy instead of directly observed market data

120
INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties

130
SINGLE NAME CDS

Article 386(1) lit. a of CRR

Total notional amounts of single name CDS used as hedge for CVA risk

140
INDEX CDS

Article 386(1) lit. b) of CRR

Total notional amounts of index CDS used as hedge for CVA risk] ]

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