Index IndexConstraints ConstraintsDPM Map DPM Map

eba_tC_12.00 - C 12.00 (CR SEC SA)

C 12.00
TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATEDSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESSECURITISATION POSITIONS(-) VALUE ADJUSTMENTS AND PROVISIONSEXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURENET 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 FACTORSEXPOSURE VALUEBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTSRISK-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 SA 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%LOOK-THROUGHINTERNAL ASSESMENT APPROACHOF WHICH: SYNTHETIC SECURITISATIONSBEFORE CAPAFTER CAP
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)(-) TOTAL OUTFLOWSTOTAL INFLOWSCQS 1CQS 2CQS 3CQS 4ALL OTHER CQSUNRATEDOF WHICH: SECOND LOSS IN ABCPOF WHICH: AVERAGE RISK WEIGHT (%)OF WHICH: AVERAGE RISK WEIGHT (%)
010020030040050060070080090100110120130140150160170180190200210220230240250260270280290300310320330340350360370380390
TOTAL EXPOSURES010
OF WHICH: RE-SECURITISATIONS020
ORIGINATOR: TOTAL EXPOSURES030
ON-BALANCE SHEET ITEMS040
SECURITISATIONS050
RE-SECURITISATIONS060
OFF-BALANCE SHEET ITEMS AND DERIVATIVES070
SECURITISATIONS080
RE-SECURITISATIONS090
EARLY AMORTISATION100
INVESTOR: TOTAL EXPOSURES110
ON-BALANCE SHEET ITEMS120
SECURITISATIONS130
RE-SECURITISATIONS140
OFF-BALANCE SHEET ITEMS AND DERIVATIVES150
SECURITISATIONS160
RE-SECURITISATIONS170
SPONSOR: TOTAL EXPOSURES180
ON-BALANCE SHEET ITEMS190
SECURITISATIONS200
RE-SECURITISATIONS210
OFF-BALANCE SHEET ITEMS AND DERIVATIVES220
SECURITISATIONS230
RE-SECURITISATIONS240
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:249
CQS 1250
CQS 2260
CQS 3270
CQS 4280
ALL OTHER CQS AND UNRATED290

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