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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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- Rheoliadau yn deillio o’r UE
- 2014 No. 680
- ANNEX I
- Annex I Table 19
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Changes over time for: C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
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Commission Implementing Regulation (EU) No 680/2014,
C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
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C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
ANNEX I Table 19: rows 1 - 59
| TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED | SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | 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 CREDIT CONVERSION FACTORS | EXPOSURE VALUE | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS | 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 IRB 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 | RATINGS BASED METHOD (CREDIT QUALITY STEPS) | 1250% | SUPERVISORY FORMULA METHOD | LOOK-THROUGH | INTERNAL ASSESSMENT APPROACH | |||||||||||||||||||||||||||||||
| (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) | (-) TOTAL OUTFLOWS | TOTAL INFLOWS | CQS 1 & S/T CQS 1 | CQS 2 | CQS 3 | CQS 4 & S/T CQS 2 | CQS 5 | CQS 6 | CQS 7 & S/T CQS 3 | CQS 8 | CQS 9 | CQS 10 | CQS 11 | ALL OTHER CQS | UNRATED | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | AVERAGE RISK WEIGHT (%) | OF WHICH: SYNTHETIC SECURITISATIONS | BEFORE CAP | AFTER CAP | |||||||||||||||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | |||
| 010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||||||||||
| 020 | OF WHICH: RE-SECURITISATIONS | Cell linked to CA | ||||||||||||||||||||||||||||||||||||||||||||||
| 030 | ORIGINATOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
| 040 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
| 050 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 060 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 070 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 080 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 090 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 100 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
| 110 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 120 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 130 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 140 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 150 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 160 | EARLY AMORTISATION | |||||||||||||||||||||||||||||||||||||||||||||||
| 170 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
| 180 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
| 190 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 200 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 210 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 220 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 230 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 240 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
| 250 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 260 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 270 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 280 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 290 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 300 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||||||||||
| 310 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||||||||||
| 320 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 330 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 340 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 350 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 360 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| 370 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||||||||||
| 380 | SECURITISATIONS | A | ||||||||||||||||||||||||||||||||||||||||||||||
| 390 | B | |||||||||||||||||||||||||||||||||||||||||||||||
| 400 | C | |||||||||||||||||||||||||||||||||||||||||||||||
| 410 | RE-SECURITISATIONS | D | ||||||||||||||||||||||||||||||||||||||||||||||
| 420 | E | |||||||||||||||||||||||||||||||||||||||||||||||
| BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: | ||||||||||||||||||||||||||||||||||||||||||||||||
| 430 | CQS 1 & S/T CQS 1 | |||||||||||||||||||||||||||||||||||||||||||||||
| 440 | CQS 2 | |||||||||||||||||||||||||||||||||||||||||||||||
| 450 | CQS 3 | |||||||||||||||||||||||||||||||||||||||||||||||
| 460 | CQS 4 & S/T CQS 2 | |||||||||||||||||||||||||||||||||||||||||||||||
| 470 | CQS 5 | |||||||||||||||||||||||||||||||||||||||||||||||
| 480 | CQS 6 | |||||||||||||||||||||||||||||||||||||||||||||||
| 490 | CQS 7 & S/T CQS 3 | |||||||||||||||||||||||||||||||||||||||||||||||
| 500 | CQS 8 | |||||||||||||||||||||||||||||||||||||||||||||||
| 510 | CQS 9 | |||||||||||||||||||||||||||||||||||||||||||||||
| 520 | CQS 10 | |||||||||||||||||||||||||||||||||||||||||||||||
| 530 | CQS 11 | |||||||||||||||||||||||||||||||||||||||||||||||
| 540 | ALL OTHER CQS AND UNRATED | |||||||||||||||||||||||||||||||||||||||||||||||
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