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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)

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Commission Implementing Regulation (EU) No 680/2014, C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) is up to date with all changes known to be in force on or before 24 July 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations. Help about Changes to Legislation

EUR 2014 No. 680 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

ANNEX I Table 18: rows 1 - 34

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS 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 AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % >0 % and <=20 % >20 % and <=50 % >50 % and <=100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATED (CREDIT QUALITY STEPS) 1250% LOOK-THROUGH INTERNAL ASSESMENT APPROACH
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 CQS 2 CQS 3 CQS 4 ALL OTHER CQS UNRATED OF WHICH: SECOND LOSS IN ABCP OF WHICH: AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390
010 TOTAL EXPOSURESCell linked to CA
020OF WHICH: RE-SECURITISATIONSCell linked to CA
030 ORIGINATOR: TOTAL EXPOSURES
040ON-BALANCE SHEET ITEMS
050SECURITISATIONS
060RE-SECURITISATIONS
070OFF-BALANCE SHEET ITEMS AND DERIVATIVES
080SECURITISATIONS
090RE-SECURITISATIONS
100EARLY AMORTISATION
110 INVESTOR: TOTAL EXPOSURES
120ON-BALANCE SHEET ITEMS
130SECURITISATIONS
140RE-SECURITISATIONS
150OFF-BALANCE SHEET ITEMS AND DERIVATIVES
160SECURITISATIONS
170RE-SECURITISATIONS
180 SPONSOR: TOTAL EXPOSURES
190ON-BALANCE SHEET ITEMS
200SECURITISATIONS
210RE-SECURITISATIONS
220OFF-BALANCE SHEET ITEMS AND DERIVATIVES
230SECURITISATIONS
240RE-SECURITISATIONS
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
250CQS 1
260CQS 2
270CQS 3
280CQS 4
290ALL OTHER CQS AND UNRATED

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