# 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), Division 3.6.2: Instructions concerning specific positions

Extent: E+W+S+N.I.

Columns
010
UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR.
All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date.
020
PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS
Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR.
Only unsettled transactions at a loss after the due settlement date shall be reported in this column.
030
OWN FUNDS REQUIREMENTS
Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR.
040
TOTAL SETTLEMENT RISK EXPOSURE AMOUNT
In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 030 by 12,5 in order to obtain the settlement risk exposure amount.
Rows
010
Total unsettled transactions in the Non-trading Book
Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).
Institutions shall report in {r010;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions shall report in {r010;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions shall report in {r010;c030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘ price difference ’ reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).
020 to 060
Transactions unsettled up to 4 days (Factor 0 %)
Transactions unsettled between 5 and 15 days (Factor 8 %)
Transactions unsettled between 16 and 30 days (Factor 50 %)
Transactions unsettled between 31 and 45 days (Factor 75 %)
Transactions unsettled for 46 days or more (Factor 100 %)
Institutions shall report in rows 020 to 060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.
070
Total unsettled transactions in the Trading Book
Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR).
Institutions shall report in {r070;c010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.
Institutions shall report in {r070;c020} the aggregated information for price difference exposure due to unsettled transactions at a loss.
Institutions shall report in {r070;c030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the ‘ price difference ’ reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR).
080 to 120
Transactions unsettled up to 4 days (Factor 0 %)
Transactions unsettled between 5 and 15 days (Factor 8 %)
Transactions unsettled between 16 and 30 days (Factor 50 %)
Transactions unsettled between 31 and 45 days (Factor 75 %)
Transactions unsettled for 46 days or more (Factor 100 %)
Institutions shall report in rows 080 to 120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR.
No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

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Source: https://www.legislation.gov.uk/eur/2014/680/annex/II/part/2/division/3/division/3.6/division/3.6.2 (the official version)
Page: https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-3/division-3.6/division-3.6.2
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.