# 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 5.3.2: Instructions concerning specific positions

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

Columns
010-020
ALL POSITIONS (LONG AND SHORT)
Article 102 and Article 105(1) CRR in conjunction paragraphs 2 and 3 of Article 338 CRR (positions assigned to the Correlation Trading Portfolio)
Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR.
030-040
(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)
Article 253 CRR
050-060
NET POSITIONS (LONG AND SHORT)
Articles 327, 328, 329 and 334 CRR
Regarding the distinction between long and short positions, see Article 328(2) CRR.
071-097
BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS
Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR
402-406
BREAKDOWN OF THE NET POSITIONS BY APPROACHES
Article 254 CRR
402
SEC-IRBA
Articles 259 and 260 CRR
403
SEC-SA
Articles 261 and 262 CRR
404
SEC-ERBA
Articles 263 and 264 CRR
405
INTERNAL ASSESSMENT APPROACH
Articles 254 and 265 and Article 266(5) CRR.
406
OTHER (RW = 1 250 %)
Article 254(7) CRR
410-420
BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS
Article 338 CRR, without taking into account the discretion of Article 335 CRR
430-440
AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS
Article 338 CRR, taking into account the discretion of Article 335 CRR
450
TOTAL OWN FUNDS REQUIREMENTS
The 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).
Rows
010
TOTAL EXPOSURES
Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
020-040
ORIGINATOR
Point (13) of Article 4(1) CRR
050-070
INVESTOR
Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender
080-100
SPONSOR
Point (14) of Article 4(1) CRR
A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.
030, 060 and 090
SECURITISATION POSITIONS
The 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.
Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row ‘ Other CTP positions ’ .
110
N-TH-TO-DEFAULT CREDIT DERIVATIVES
N-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.
The 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.
040, 070, 100 and 120
OTHER CTP POSITIONS
The following positions are included:
Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;
CTP positions hedged by credit derivatives in accordance with Article 346 CRR;
Other positions that satisfy Article 338(3) CRR.

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Source: https://www.legislation.gov.uk/eur/2014/680/annex/II/part/2/division/5/division/5.3/division/5.3.2 (the official version)
Page: https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.3/division-5.3.2
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.