{
  "url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-3/division-3.2/division-3.2.5",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-3/division-3.2/division-3.2.5.json",
  "legislation": "eur/2014/680",
  "legislation_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)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2014-680",
  "path": "annex/II/part/2/division/3/division/3.2/division/3.2.5",
  "kind": "division",
  "number": "3.2.5",
  "heading": "Instructions concerning specific positions",
  "text": "Columns\n010\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nExposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR:\n1.. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR or subject to point (f) of Article 92(3) CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated in accordance with the methods laid down Chapter 6 of Title II of Part Three CRR.\n2.. Exposure values for leases shall be subject to Article 134(7) CRR.\n3.. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.\n4.. In the case of master netting agreements covering repurchase transactions, securities, commodities lending, borrowing transactions or other capital market driven transactions subject to Chapter 6 of Title II of Part Three CRR, the effect of Funded Credit Protection in the form of master netting agreements referred to in Article 220(4) CRR shall be reflected in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to Chapter 6 of Title II of Part Three CRR, E* as calculated in accordance with Articles 220 and 221 CRR shall be reported in column 010 of the CR SA template.\n030\n(-) Value adjustments and provision associated with the original exposure\nArticle 24 and 111 CRR\nValue adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject\n040\nExposure net of value adjustments and provisions\nSum of columns 010 and 030\n050 – 100\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nCredit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in ‘ Substitution of the exposure due to CRM ’ .\nCollateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.\nItems to be reported here:\ncollateral, incorporated in accordance with the Financial Collateral Simple Method;\neligible unfunded credit protection.\nPlease also see instructions of point 3.1.1.\n050 – 060\nUnfunded credit protection: adjusted values (G A )\nArticle 235 CRR\nArticle 239(3) CRR contains the formula for the calculation of the adjusted value G A of an unfunded credit protection.\n050\nGuarantees\nArticle 203 CRR\nUnfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives.\n060\nCredit derivatives\nArticle 204 CRR\n070 – 080\nFunded credit protection\nThese columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors).\nInvestments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.\n070\nFinancial collateral: simple method\nParagraphs 1 and 2 of Article 222 CRR.\n080\nOther funded credit protection\nArticle 232 CRR.\n090 – 100\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\nArticle 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR\nOutflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class.\nInflows and outflows within the same exposure classes shall also be reported.\nExposures stemming from possible in- and outflows from and to other templates shall be taken into account.\n110\nNET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS\nAmount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\n120-140\nCREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD\nArticles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR)\nCredit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral.\nThe effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR.\n120\nVolatility adjustment to the exposure\nParagraphs 2 and 3 of Article 223 CRR.\nThe amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He\n130\n(-) Financial collateral adjusted value (Cvam)\nArticle 239(2) CRR.\nFor trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included.\nThe amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR.\n140\n(-) Of which: Volatility and maturity adjustments\nArticle 223(1) CRR and Article 239(2) CRR.\nThe amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]\n150\nFully adjusted exposure value (E*)\nArticle 220(4), Article 223(2) to (5) and Article 228(1) CRR.\n160 – 190\nBreakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors\nArticle 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR.\nThe figures reported shall be the fully adjusted exposure values before application of the conversion factor.\n200\nExposure value\nArticle 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR.\nExposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR.\n210\nOf which: Arising from Counterparty Credit Risk\nFor Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to Chapter 6 of Title II of Part Three CRR, the exposure value for Counterparty Credit Risk calculated in accordance with the methods laid down in Sections 2 to 5 of Chapter 6 of Title II of Part Three CRR.\n215\nRisk weighted exposure amount pre SME-supporting factor\nParagraphs 1 to 5 of Article 113CRR, without taking into account the SME-supporting factor laid down in Article 501 CRR.\n220\nRisk weighted exposure amount after SME-supporting factor\nParagraphs 1 to 5 of Article 113CRR, taking into account the SME-supporting factor laid down in Article 501 CRR.\n230\nOf which: with a credit assessment by a nominated ECAI\nPoints (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR\n240\nOf which: with a credit assessment derived from central government\nPoints (b) to d), (f), (g), (l) and (o) of Article 112 CRR\nANNEX II Table 14: rows 1 - 38",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "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)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2014/680/annex/II/part/2/division/3/division/3.2/division/3.2.5",
    "retrieved_at": "2026-11-01T14:47:31.206584+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}