{
  "url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.3/division-5.3.2",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.3/division-5.3.2.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/5/division/5.3/division/5.3.2",
  "kind": "division",
  "number": "5.3.2",
  "heading": "Instructions concerning specific positions",
  "text": "Columns\n010-020\nALL POSITIONS (LONG AND SHORT)\nArticle 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio)\nRegarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.\n030-040\n(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)\nArticle 253 CRR\n050-060\nNET POSITIONS (LONG AND SHORT)\nArticles 327, 328, 329 and 334 CRR\nRegarding the distinction between long and short positions, see Article 328(2) CRR.\n071-097\nBREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS\nArticles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR\n402-406\nBREAKDOWN OF THE NET POSITIONS BY APPROACHES\nArticle 254 CRR\n402\nSEC-IRBA\nArticles 259 and 260 CRR\n403\nSEC-SA\nArticles 261 and 262 CRR\n404\nSEC-ERBA\nArticles 263 and 264 CRR\n405\nINTERNAL ASSESSMENT APPROACH\nArticles 254 and 265 and Article 266(5) CRR.\n406\nOTHER (RW = 1 250 %)\nArticle 254(7) CRR\n410-420\nBEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS\nArticle 338 CRR, without taking into account the discretion of Article 335 CRR\n430-440\nAFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS\nArticle 338 CRR, taking into account the discretion of Article 335 CRR\n450\nTOTAL OWN FUNDS REQUIREMENTS\nThe own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 430) or (ii) the specific risk charge that would apply just to the net short positions (column 440).\nRows\n010\nTOTAL EXPOSURES\nTotal amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.\n020-040\nORIGINATOR\nPoint (13) of Article 4(1) CRR\n050-070\nINVESTOR\nCredit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender\n080-100\nSPONSOR\nPoint (14) of Article 4(1) CRR\nA sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.\n030, 060 and 090\nSECURITISATION POSITIONS\nThe correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR.\nDerivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘ Other CTP positions ’ .\n110\nN-TH-TO-DEFAULT CREDIT DERIVATIVES\nN-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 CRR shall both be reported here.\nThe positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.\n040, 070, 100 and 120\nOTHER CTP POSITIONS\nThe following positions are included:\nDerivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;\nCTP positions hedged by credit derivatives in accordance with Article 346 CRR;\nOther positions that satisfy Article 338(3) CRR.",
  "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/5/division/5.3/division/5.3.2",
    "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."
}