# 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 5.7.2: Instructions concerning specific positions

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

Columns
030-040
Value at Risk (VaR)
VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon.
030
Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)
Point (a)(ii) of Article 364(1) and Article 365(1) CRR
040
Previous day VaR (VaRt-1)
Point (a)(i) of Article 364(1) and Article 365(1) CRR
050-060
Stressed VaR
Stressed 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.
050
Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)
Point (b)(ii) of Article 364(1) and Article 365(1) CRR
060
Latest available (SVaRt-1)
Point (b)(i) of Article 364(1) and Article 365(1) CRR
070-080
INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE
Incremental 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.
070
12 weeks average measure
Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
080
Last Measure
Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR
090-110
ALL PRICE RISKS CAPITAL CHARGE FOR CTP
090
FLOOR
Point (c) of Article 364(3) CRR
= 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.
100-110
12 WEEKS AVERAGE MEASURE AND LAST MEASURE
Point (b) of Article 364(3) CRR
110
LAST MEASURE
Point (a) of Article 364(3) CRR
120
OWN FUNDS REQUIREMENTS
Own 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
130
TOTAL RISK EXPOSURE AMOUNT
Point (b) of Article 92(4) CRR.
Result of the multiplication of the own funds requirements by 12,5
140
Number of overshootings (during previous 250 working days)
Referred to in Article 366 CRR
The number of overshootings based on which the addend is determined shall be reported.
150-160
VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)
As referred to in Article 366 CRR
170-180
ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP
The 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.
Rows
010
TOTAL POSITIONS
Corresponds 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.
Concerning 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.
020
TRADED DEBT INSTRUMENTS
Corresponds 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.
030
TDI – GENERAL RISK
General risk component as referred to in Article 362 CRR
040
TDI – SPECIFIC RISK
Specific risk component as referred to in Article 362 CRR
050
EQUITIES
Corresponds 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.
060
EQUITIES – GENERAL RISK
General risk component as referred to in Article 362 CRR
070
EQUITIES – SPECIFIC RISK
Specific risk component as referred to in Article 362 CRR
080
FOREIGN EXCHANGE RISK
Articles 363(1) and point (b) of Article 367(2) CRR
090
COMMODITY RISK
Articles 363(1) and point (d) of Article 367(2) CRR
100
TOTAL AMOUNT FOR GENERAL RISK
Market 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)
110
TOTAL AMOUNT FOR SPECIFIC RISK
Specific 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)

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Source: https://www.legislation.gov.uk/eur/2014/680/annex/II/part/2/division/5/division/5.7/division/5.7.2 (the official version)
Page: https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.7/division-5.7.2
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.