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Hierarchy for the calculation of RWA in the IRB-Approach for securitisation positions

Arc namecalculationArc
Arc rolehttp://www.eurofiling.info/xbrl/arcrole/complete-breakdown
Link rolehttp://www.eba.europa.eu/xbrl/crr/role/dict/met/AT5
ConceptOrderWeight
Fully adjusted exposure value E* including value adjustments and provisions
eba_met:mi133
CRM Financial collateral: adjusted value (Cvam)
eba_met:mi90
11
Exposure after CRM substitution effects pre conversion factors, net of value adjustments and provisions
eba_met:mi117
21
CRM substitution effects Inflows including value adjustments and provisions
eba_met:mi87
11
CRM substitution effects Outflows including value adjustments and provisions
eba_met:mi89
21
Original exposure pre conversion factors
eba_met:mi180
31
Notional amount retained or repurchased of credit protection
eba_met:mi171
11
CRM unfunded credit protection adjusted values (G*) - Outflows
eba_met:mi285
21
CRM Funded credit protection (Cva)
eba_met:mi91
31
Total amount of securitisation exposures originated
eba_met:mi230
41

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