{
  "url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.8/division-5.8.1",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.8/division-5.8.1.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/5.8/division/5.8.1",
  "kind": "division",
  "number": "5.8.1",
  "heading": "Instructions concerning specific positions",
  "text": "Columns\n010\nExposure value\nArticle 271 CRR in conjunction with Article 382 CRR.\nTotal EAD from all transactions subject to CVA charge.\n020\nOf which: OTC derivatives\nArticle 271 CRR in conjunction with Article 382(1) CRR.\nThe 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.\n030\nOf which: SFT\nArticle 271 CRR in conjunction with Article 382(2) CRR\nThe 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.\n040\nMULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)\nArticle 383 CRR in conjunction with point (d) of Article 363(1) CRR.\nVaR calculation based on internal models for market risk\n050\nPREVIOUS DAY (VaRt-1)\nSee instructions for column 040.\n060\nMULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)\nSee instructions for column 040\n070\nLATEST AVAILABLE (SVaRt-1)\nSee instructions for column 040\n080\nOWN FUNDS REQUIREMENTS\nPoint (d) of Article 92(3) CRR.\nOwn funds requirements for CVA Risk calculated via the chosen method.\n090\nTOTAL RISK EXPOSURE AMOUNT\nPoint (b) of Article 92(4) CRR.\nOwn funds requirements multiplied by 12,5 .\nMemorandum items\n100\nNumber of counterparties\nArticle 382 CRR\nNumber of counterparties included in calculation of own funds for CVA risk.\nCounterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party.\n110\nOf which: proxy was used to determine credit spread\nNumber of counterparties where the credit spread was determined using a proxy instead of directly observed market data.\n120\nINCURRED CVA\nAccounting provisions due to decreased credit worthiness of derivatives counterparties.\n130\nSINGLE NAME CDS\nPoint (a) of Article 386(1) CRR\nTotal notional amounts of single name CDS used as hedge for CVA risk.\n140\nINDEX CDS\nPoint (b) of Article 386(1) CRR\nTotal notional amounts of index CDS used as hedge for CVA risk.\nRows\n010\nCVA risk total\nSum of rows 020-040\n020\nAdvanced method\nAdvanced CVA risk method as prescribed by Article 383 CRR\n030\nStandardised method\nStandardised CVA risk method as prescribed by Article 384 CRR\n040\nBased on OEM\nAmounts subject to the application of Article 385 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/5.8/division/5.8.1",
    "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."
}