# 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 5.8.1: Instructions concerning specific positions

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

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

---
Source: https://www.legislation.gov.uk/eur/2014/680/annex/II/part/2/division/5/division/5.8/division/5.8.1 (the official version)
Page: https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-5/division-5.8/division-5.8.1
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.