Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn

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)

[F1C 07.00 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

SA Exposure class

ANNEX I Table 10: rows 1 - 41

[F1ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 % OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
(-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240
010 TOTAL EXPOSURES Cell linked to CA
015 of which: Defaulted exposures in exposure classes ‘ items associated with a particular high risk ’ and ‘ equity exposures ’
020 of which: SME
030 of which: Exposures subject to SME-supporting factor
040 of which: Secured by mortgages on immovable property – Residential property
050 of which: Exposures under the permanent partial use of the Standardised Approach
060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070 On balance sheet exposures subject to credit risk
080 Off balance sheet exposures subject to credit risk
Exposures / Transactions subject to counterparty credit risk
$090 Securities Financing Transactions
100 of which: centrally cleared through a QCCP
110 Derivatives & Long Settlement Transactions
120 of which: centrally cleared through a QCCP
130 From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140 0 %
150 2 %
160 4 %
170 10 %
180 20 %
190 35 %
200 50 %
210 70 %
220 75 %
230 100 %
$240 150 %
250 250 %
260 370 %
270 1 250 %
280 Other risk weights
MEMORANDUM ITEMS
290 Exposures secured by mortgages on commercial immovable property
300 Exposures in default subject to a risk weight of 100 %
310 Exposures secured by mortgages on residential property
320 Exposures in default subject to a risk weight of 150 % ]

Textual Amendments