Division 5.8.1 Instructions concerning specific positionsF1
United Kingdom
| Columns | |
|---|---|
| 010 | Exposure value Article 271 CRR in conjunction with Article 382 CRR. Total EAD from all transactions subject to CVA charge. |
| 020 | Of which: OTC derivatives Article 271 CRR in conjunction with Article 382(1) CRR. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. |
| 030 | Of which: SFT Article 271 CRR in conjunction with Article 382(2) CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. |
| 040 | MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk |
| 050 | PREVIOUS DAY (VaRt-1) See instructions for column 040. |
| 060 | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 040 |
| 070 | LATEST AVAILABLE (SVaRt-1) See instructions for column 040 |
| 080 | OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method. |
| 090 | TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12,5 . |
| Memorandum items | |
| 100 | Number of counterparties Article 382 CRR Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party. |
| 110 | Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data. |
| 120 | INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties. |
| 130 | SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk. |
| 140 | INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk. |
| Rows | |
|---|---|
| 010 | CVA risk total Sum of rows 020-040 |
| 020 | Advanced method Advanced CVA risk method as prescribed by Article 383 CRR |
| 030 | Standardised method Standardised CVA risk method as prescribed by Article 384 CRR |
| 040 | Based on OEM Amounts subject to the application of Article 385 CRR |