{
  "url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.7/division-5.7.2",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.7/division-5.7.2.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/5.7/division/5.7.2",
  "kind": "division",
  "number": "5.7.2",
  "heading": "Instructions concerning specific positions",
  "text": "Columns\n030-040\nValue at Risk (VaR)\nVaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.\n030\nMultiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)\nPoint (a)(ii) of Article 364(1) and Article 365(1) CRR\n040\nPrevious day VaR (VaRt-1)\nPoint (a)(i) of Article 364(1) and Article 365(1) CRR\n050-060\nStressed VaR\nStressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution’s portfolio.\n050\nMultiplication factor (ms) x Average of previous 60 working days (SVaRavg)\nPoint (b)(ii) of Article 364(1) and Article 365(1) CRR\n060\nLatest available (SVaRt-1)\nPoint (b)(i) of Article 364(1) and Article 365(1) CRR\n070-080\nINCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE\nIncremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR.\n070\n12 weeks average measure\nPoint (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR\n080\nLast Measure\nPoint (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR\n090-110\nALL PRICE RISKS CAPITAL CHARGE FOR CTP\n090\nFLOOR\nPoint (c) of Article 364(3) CRR\n= 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the ‘ all price risks ’ capital charge.\n100-110\n12 WEEKS AVERAGE MEASURE AND LAST MEASURE\nPoint (b) of Article 364(3) CRR\n110\nLAST MEASURE\nPoint (a) of Article 364(3) CRR\n120\nOWN FUNDS REQUIREMENTS\nOwn funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR\n130\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nResult of the multiplication of the own funds requirements by 12,5\n140\nNumber of overshootings (during previous 250 working days)\nReferred to in Article 366 CRR\nThe number of overshootings based on which the addend is determined shall be reported.\n150-160\nVaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)\nAs referred to in Article 366 CRR\n170-180\nASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP\nThe amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.\nRows\n010\nTOTAL POSITIONS\nCorresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR.\nConcerning the columns 030 to 060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components.\n020\nTRADED DEBT INSTRUMENTS\nCorresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR.\n030\nTDI – GENERAL RISK\nGeneral risk component as referred to in Article 362 CRR\n040\nTDI – SPECIFIC RISK\nSpecific risk component as referred to in Article 362 CRR\n050\nEQUITIES\nCorresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR.\n060\nEQUITIES – GENERAL RISK\nGeneral risk component as referred to in Article 362 CRR\n070\nEQUITIES – SPECIFIC RISK\nSpecific risk component as referred to in Article 362 CRR\n080\nFOREIGN EXCHANGE RISK\nArticles 363(1) and point (b) of Article 367(2) CRR\n090\nCOMMODITY RISK\nArticles 363(1) and point (d) of Article 367(2) CRR\n100\nTOTAL AMOUNT FOR GENERAL RISK\nMarket risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable)\n110\nTOTAL AMOUNT FOR SPECIFIC RISK\nSpecific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)",
  "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/5.7/division/5.7.2",
    "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."
}