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

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010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposure value according to Article 111 of CRR without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR: For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92(3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR. Exposure values for leases are subject to Article 134(7) of CRR. In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral. In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220(4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.
030	(-) Value adjustments and provision associated with the original exposure Article 24 and 111 of CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.
040	Exposure net of value adjustments and provisions Sum of columns 010 and 030.
050 - 100	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM. If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. Items to be reported here: collateral, incorporated according to Financial Collateral Simple Method; eligible unfunded credit protection. Please also see instructions of point 4.1.1.
050 - 060	Unfunded credit protection: adjusted values (Ga) Article 235 of CRR Article 239(3) of CRR defines the adjusted value Ga of an unfunded credit protection.
050	Guarantees Article 203 of CRR Unfunded Credit Protection as defined in Article 4(59) of CRR different from Credit Derivatives.
060	Credit derivatives Article 204 of CRR.
070 – 080	Funded credit protection These columns refer to funded credit protection according to Article 4(58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors). Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.
070	Financial collateral: simple method Article 222(1) to (2) of CRR.
080	Other funded credit protection Article 232 of CRR.
090 - 100	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Articles 222(3), Article 235(1) to (2) and Article 236 of CRR. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. This amount shall be considered as an Inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.
110	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
120 - 140	CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR) Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.
120	Volatility adjustment to the exposure Article 223(2) to (3) of CRR. The amount to be reported is given by the impact of the volatility adjustment to the exposure (EVA-E) = E*He
130	(-) Financial collateral adjusted value (Cvam) Article 239(2) of CRR. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299(2) points (c) to (f) of CRR. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.
140	(-) Of which: Volatility and maturity adjustments Article 223(1) of CRR and Article 239(2) of CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]
150	Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) of CRR.
160 - 190	Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and Article 4(56) of CRR. See also Article 222(3) and Article 228(1) of CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor.
200	Exposure value Article 111 of CRR and Part 3 title II chapter 4 section 4 of CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.
210	Of which: Arising from Counterparty Credit Risk For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.
215	Risk weighted exposure amount pre SME-supporting factor Article 113(1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.
220	Risk weighted exposure amount after SME-supporting factor Article 113(1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.
230	Of which: with a credit assessment by a nominated ECAI
240	Of which: with a credit assessment derived from central government] ]