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

C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

SA Exposure class

ANNEX I Table 9: rows 1 - 39

		ORIGINAL EXPOSURE PRE CONVERSION FACTORS		(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE	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 EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD			FULLY ADJUSTED EXPOSURE VALUE (E*)	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS				EXPOSURE VALUE		RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR	RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR
			OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS			UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)		FUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM			VOLATILITY ADJUSTMENT TO THE EXPOSURE	(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)			0%	20%	50%	100%		OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK			OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI	OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT
						(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) FINANCIAL COLLATERAL: SIMPLE METHOD	(-) OTHER FUNDED CREDIT PROTECTION	(-) TOTAL OUTFLOWS	TOTAL INFLOWS (+)				OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	215	220	230	240
010	TOTAL EXPOSURES																							Cell linked to CA
020	of which: SME
030	of which: SME subject to SME-supporting factor
040	of which: Secured by mortgages on immovable property - Residential property
050	of which: Exposures under the permanent partial use of the standardised approach
060	of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070	On balance sheet exposures subject to credit risk
080	Off balance sheet exposures subject to credit risk
090	Securities Financing Transactions
100	of which: centrally cleared through a QCCP
110	Derivatives & Long Settlement Transactions
120	of which: centrally cleared through a QCCP
130	From Contractual Cross Product Netting
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140	0 %
150	2 %
160	4 %
170	10 %
180	20 %
190	35 %
200	50 %
210	70 %
220	75 %
230	100 %
240	150 %
250	250 %
260	370 %
270	1 250 %
280	Other risk weights
MEMORANDUM ITEMS
290	Exposures secured by mortgages on commercial immovable property
300	Exposures in default subject to a risk weight of 100 %
310	Exposures secured by mortgages on residential property
320	Exposures in default subject to a risk weight of 150 %