Commission Implementing Regulation (EU) No 680/2014Show full title

ANNEX I Table 20: rows 1 - 59

			[F1 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)												1 250 %	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																																															]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).