Index IndexConstraints ConstraintsDPM Map DPM Map

eba_tC_13.00 - C 13.00 (CR SEC IRB)

C 13.00
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATEDSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESSECURITISATION POSITIONSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE 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 FACTORSEXPOSURE VALUEBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONSRISK-WEIGHTED EXPOSURE AMOUNTOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONSADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESTOTAL RISK-WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES
(-) FUNDED CREDIT PROTECTION (Cva)(-) TOTAL OUTFLOWSNOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTIONORIGINAL EXPOSURE PRE CONVERSION FACTORS(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)(-) FUNDED CREDIT PROTECTIONSUBSTITUTION OF THE EXPOSURE DUE TO CRM0%>0% and <=20%>20% and <=50%>50% and <=100%(-) DEDUCTED FROM OWN FUNDSSUBJECT TO RISK WEIGHTSRATED (CREDIT QUALITY STEPS)1250%SUPERVISORY FORMULA METHODLOOK-THROUGHINTERNAL ASSESSMENT APPROACHOF WHICH: SYNTHETIC SECURITISATIONSBEFORE CAPAFTER CAP
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)(-) TOTAL OUTFLOWSTOTAL INFLOWSCQS 1 & S/T CQS 1CQS 2CQS 3CQS 4 & S/T CQS 2CQS 5CQS 6CQS 7 & S/T CQS 3CQS 8CQS 9CQS 10CQS 11ALL OTHER CQSUNRATEDAVERAGE RISK WEIGHT (%)OF WHICH: AVERAGE RISK WEIGHT (%)OF WHICH: AVERAGE RISK WEIGHT (%)
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390400410420430440450460
TOTAL EXPOSURES010
OF WHICH: RE-SECURITISATIONS020
ORIGINATOR: TOTAL EXPOSURES030
ON-BALANCE SHEET ITEMS040
SECURITISATIONS049
A050
B060
C070
RE-SECURITISATIONS079
D080
E090
OFF-BALANCE SHEET ITEMS AND DERIVATIVES100
SECURITISATIONS109
A110
B120
C130
RE-SECURITISATIONS139
D140
E150
EARLY AMORTISATION160
INVESTOR: TOTAL EXPOSURES170
ON-BALANCE SHEET ITEMS180
SECURITISATIONS189
A190
B200
C210
RE-SECURITISATIONS219
D220
E230
OFF-BALANCE SHEET ITEMS AND DERIVATIVES240
SECURITISATIONS249
A250
B260
C270
RE-SECURITISATIONS279
D280
E290
SPONSOR: TOTAL EXPOSURES300
ON-BALANCE SHEET ITEMS310
SECURITISATIONS319
A320
B330
C340
RE-SECURITISATIONS349
D350
E360
OFF-BALANCE SHEET ITEMS AND DERIVATIVES370
SECURITISATIONS379
A380
B390
C400
RE-SECURITISATIONS409
D410
E420
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:429
CQS 1 & S/T CQS 1430
CQS 2440
CQS 3450
CQS 4 & S/T CQS 2460
CQS 5470
CQS 6480
CQS 7 & S/T CQS 3490
CQS 8500
CQS 9510
CQS 10520
CQS 11530
ALL OTHER CQS540

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