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Commission Implementing Regulation (EU) No 680/2014Show full 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)
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- 2014 No. 680
- ANNEX I
- Annex I Table 11
- ANNEX I Table 11:...
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Changes over time for: ANNEX I Table 11: rows 1 - 27
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Point in time view as at 11/07/2023.
Changes to legislation:
Commission Implementing Regulation (EU) No 680/2014, ANNEX I Table 11: rows 1 - 27 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.
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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ANNEX I Table 11: rows 1 - 27
| [F1INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | EXPOSURE VALUE | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | MEMORANDUM ITEMS: | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| UNFUNDED CREDIT PROTECTION | (-) OTHER FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | OWN ESTIMATES OF LGD’S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | |||||||||||||||||||||||||||
| PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+) | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: OFF BALANCE SHEET ITEMS | OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | GUARANTEES | CREDIT DERIVATIVES | OWN ESTIMATES OF LGD’S ARE USED: OTHER FUNDED CREDIT PROTECTION | ELIGIBLE FINANCIAL COLLATERAL | OTHER ELIGIBLE COLLATERAL | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | |||||||||||||||
| REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | |||||||||||||||||||||||||||||
| 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 | 255 | 260 | 270 | 280 | 290 | 300 | ||
| 010 | TOTAL EXPOSURES | Cell linked to CA | ||||||||||||||||||||||||||||||
| 015 | of which: Exposures subject to SME-supporting factor | |||||||||||||||||||||||||||||||
| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: | ||||||||||||||||||||||||||||||||
| 020 | On balance sheet items subject to credit risk | |||||||||||||||||||||||||||||||
| 030 | Off balance sheet items subject to credit risk | |||||||||||||||||||||||||||||||
| Exposures / Transactions subject to counterparty credit risk | ||||||||||||||||||||||||||||||||
| 040 | Securities Financing Transactions | |||||||||||||||||||||||||||||||
| 050 | Derivatives & Long Settlement Transactions | |||||||||||||||||||||||||||||||
| 060 | From Contractual Cross Product Netting | |||||||||||||||||||||||||||||||
| 070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | |||||||||||||||||||||||||||||||
| 080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | |||||||||||||||||||||||||||||||
| BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: | ||||||||||||||||||||||||||||||||
| 090 | RISK WEIGHT: 0 % | |||||||||||||||||||||||||||||||
| 100 | 50 % | |||||||||||||||||||||||||||||||
| 110 | 70 % | |||||||||||||||||||||||||||||||
| 120 | Of which: in category 1 | |||||||||||||||||||||||||||||||
| 130 | 90 % | |||||||||||||||||||||||||||||||
| 140 | 115 % | |||||||||||||||||||||||||||||||
| 150 | 250 % | |||||||||||||||||||||||||||||||
| 160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | |||||||||||||||||||||||||||||||
| 170 | EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS | |||||||||||||||||||||||||||||||
| 180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | ] | ||||||||||||||||||||||||||||||
Textual Amendments
F1 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).
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