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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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- Regulations originating from the EU
- 2014 No. 680
- ANNEX I
- Annex I Table 12
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- Revised 01/06/202027.32 MB
- Revised 01/12/201819.94 MB
- Revised 01/03/201819.40 MB
- Revised 01/01/201818.30 MB
- Revised 01/12/201616.46 MB
- Revised 10/09/201616.23 MB
- Revised 20/04/201614.70 MB
- Revised 25/03/20169.95 MB
- Revised 01/06/20159.09 MB
- Revised 21/02/20159.02 MB
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Changes over time for: C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
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Commission Implementing Regulation (EU) No 680/2014,
C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
is up to date with all changes known to be in force on or before 05 November 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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[F1C 08.02 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
ANNEX I Table 12: rows 1 - 6
| [F1OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL 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 LARGEFINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-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 | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS | |||||||||||||||||||||||
| 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 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | ||||||||||||||||
| REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES | |||||||||||||||||||||||||||||
| 005 | 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 |
| ] | |||||||||||||||||||||||||||||||
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