{
  "url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-6/division-6.3/division-6.3.2",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-6/division-6.3/division-6.3.2.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/6/division/6.3/division/6.3.2",
  "kind": "division",
  "number": "6.3.2",
  "heading": "Instructions concerning specific positions",
  "text": "Columns\n0005\nRANK\nThe rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on.\n0010\nMODEL\nInternal name (alpha-numerical) of the model used by the institution to identify the model.\n0020\nRISK CATEGORY\nThe risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment.\nInstitutions shall report the following codes:\nIR – interest rates\nFX – foreign exchange\nCR – credit\nEQ – equities\nCO – commodities\n0030\nPRODUCT\nInternal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model.\n0040\nOBSERVABILITY\nNumber of price observations for the product or group of products in the last 12 months that meet either of the following criteria:\nThe price observation is a price at which the institution has conducted a transaction;\nIt is a verifiable price for an actual transaction between third parties;\nThe price is obtained from a committed quote.\nInstitutions shall report one of the following values: ‘ none ’ , ‘ 1-6 ’ , ‘ 6-24 ’ , ‘ 24-100 ’ , ‘ 100+ ’ .\n0050\nMODEL RISK AVA\nArticle 11(1) of Delegated Regulation (EU) 2016/101.\nIndividual model risk AVA before diversification benefit, but after portfolio netting where relevant.\n0060\nOF WHICH: USING EXPERT-BASED APPROACH\nAmounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101.\n0070\nOF WHICH: AGGREGATED USING METHOD 2\nAmounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex.\n0080\nAGGREGATED AVA CALCULATED UNDER METHOD 2\nThe contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex.\n0090 -0100\nFAIR-VALUED ASSETS AND LIABILITIES\nAbsolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.\n0090\nFAIR-VALUED ASSETS\nAbsolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.\n0100\nFAIR-VALUED LIABILITIES\nAbsolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework.\n0110\nIPV DIFFERENCE (OUTPUT TESTING)\nThe sum of unadjusted difference amounts ( ‘ IPV difference ’ ) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products.\nUnadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process.\nNo adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.\nOnly results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included.\n0120\nIPV COVERAGE (OUTPUT TESTING)\nThe percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110.\n0130 – 0140\nFAIR VALUE ADJUSTMENTS\nFair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.\n0150\nDAY 1 P&L\nAdjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.",
  "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/6/division/6.3/division/6.3.2",
    "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."
}