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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 18
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- Revised 01/06/202027.32 MB
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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 | ||||||||||||||||||||||||||
| 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 | ||
| 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 | |||||||||||||||||||||||||||||||||||||||
| 060 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 070 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 080 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 090 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 100 | EARLY AMORTISATION | |||||||||||||||||||||||||||||||||||||||
| 110 | INVESTOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 120 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
| 130 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 140 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 150 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 160 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 170 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 180 | SPONSOR: TOTAL EXPOSURES | |||||||||||||||||||||||||||||||||||||||
| 190 | ON-BALANCE SHEET ITEMS | |||||||||||||||||||||||||||||||||||||||
| 200 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 210 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 220 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | |||||||||||||||||||||||||||||||||||||||
| 230 | SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| 240 | RE-SECURITISATIONS | |||||||||||||||||||||||||||||||||||||||
| BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: | ||||||||||||||||||||||||||||||||||||||||
| 250 | CQS 1 | |||||||||||||||||||||||||||||||||||||||
| 260 | CQS 2 | |||||||||||||||||||||||||||||||||||||||
| 270 | CQS 3 | |||||||||||||||||||||||||||||||||||||||
| 280 | CQS 4 | |||||||||||||||||||||||||||||||||||||||
| 290 | ALL OTHER CQS AND UNRATED | |||||||||||||||||||||||||||||||||||||||
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