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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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Rhagor o Adnoddau
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Legislation originating from the EU
When the UK left the EU, legislation.gov.uk published EU legislation that had been published by the EU up to IP completion day (31 December 2020 11.00 p.m.). On legislation.gov.uk, these items of legislation are kept up-to-date with any amendments made by the UK since then.
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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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Mae deddfwriaeth ar gael mewn fersiynau gwahanol:
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