Index IndexConstraints ConstraintsDPM Map DPM Map

eba_tC_13.01 - C 13.01 (CR SEC)

C 13.01
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*)(-) NON REFUNDABLE PRICE PURCHASE DISCOUNT(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURESEXPOSURE VALUEBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTSRISK-WEIGHTED EXPOSURE AMOUNTADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402BEFORE CAP(-) REDUCTION DUE TO RISK WEIGHT CAP(-) REDUCTION DUE TO OVERALL CAPTOTAL RISK-WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS 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 CRMOF WHICH: SUBJECT TO A CCF OF 0%(-) DEDUCTED FROM OWN FUNDSSUBJECT TO RISK WEIGHTSSEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHSPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONSOTHER (RW=1250%)SEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHSPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONSOTHER (RW=1250%)OF WHICH: SYNTHETIC SECURITISATIONS
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)(-) TOTAL OUTFLOWSTOTAL INFLOWSBREAKDOWN BY RW BANDSOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)BREAKDOWN BY RW BANDSBREAKDOWN BY CREDIT QUALITY STEPSBREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBABREAKDOWN BY RW BANDSOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)OF WHICH: RW=1250% (W UNKNOWN)AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASESSEC-ERBA OPTIONPOSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) NO 575/2013POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) NO 575/2013POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) NO 575/2013FOLLOWING THE HIERARCHY OF APPROACHESAVERAGE RISK WEIGHT (%)
<=20% RW>20% TO 50% RW>50% TO 100% RW>100% TO 1250% RW1250% RW<=20% RW>20% TO 50% RW>50% TO 100% RW>100% TO 1250% RW1250% RW (W UNKNOWN)1250% RW (OTHER)SHORT TERM CREDIT QUALITY STEPSLONG TERM CREDIT QUALITY STEPSAUTO LOANS, AUTO LEASES AND EQUIPMENT LEASESSEC-ERBA OPTIONPOSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) NO 575/2013POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) NO 575/2013POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) NO 575/2013FOLLOWING THE HIERARCHY OF APPROACHES<=20% RW>20% TO 50% RW>50% TO 100% RW>100% TO 1250% RW1250% RW
CQS 1CQS 2CQS 3ALL OTHER CQSCQS 1CQS 2CQS 3CQS 4CQS 5CQS 6CQS 7CQS 8CQS 9CQS 10CQS 11CQS 12CQS 13CQS 14CQS 15CQS 16CQS 17ALL OTHER CQS
00100020003000400050006000700080009001000110012001300140015001600170018001900200021002200230024002500260027002800290030003100320033003400350036003700380039004000410042004300440045004600470048004900500051005200530054005500560057005800590060006100620063006400650066006700680069006950700071007200730074007500760077007800790080008100820083008400845085008600870088008900900091009200930
TOTAL EXPOSURES0010
SECURITISATIONS0020
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0030
EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS0040
GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS0050
SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS0051
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0060
RE-SECURITISATIONS0070
ORIGINATOR: TOTAL EXPOSURES0080
SECURITISATIONS: ON-BALANCE SHEET ITEMS0090
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0100
OF WHICH: SENIOR EXPOSURES0110
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0120
EXPOSURES IN NON-NPE SECURITISATIONS0121
OF WHICH: SENIOR EXPOSURES0131
EXPOSURES IN NPE SECURITISATIONS0133
OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS0134
OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS0135
OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS0136
SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0140
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0150
OF WHICH: SENIOR EXPOSURES0160
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0170
OF WHICH: SENIOR EXPOSURES0180
RE-SECURITISATIONS0190
INVESTOR: TOTAL EXPOSURES0200
SECURITISATIONS: ON-BALANCE SHEET ITEMS0210
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0220
OF WHICH: SENIOR EXPOSURES0230
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0240
EXPOSURES IN NON-NPE SECURITISATIONS0241
OF WHICH: SENIOR EXPOSURES0251
EXPOSURES IN NPE SECURITISATIONS0253
OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS0254
OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS0255
OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS0256
SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0260
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0270
OF WHICH: SENIOR EXPOSURES0280
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0290
OF WHICH: SENIOR EXPOSURES0300
RE-SECURITISATIONS0310
SPONSOR: TOTAL EXPOSURES0320
SECURITISATIONS: ON-BALANCE SHEET ITEMS0330
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0340
OF WHICH: SENIOR EXPOSURES0350
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0360
EXPOSURES IN NON-NPE SECURITISATIONS0361
OF WHICH: SENIOR EXPOSURES0371
EXPOSURES IN NPE SECURITISATIONS0373
OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS0374
OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS0375
OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS0376
SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES0380
QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0390
OF WHICH: SENIOR EXPOSURES0400
NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT0410
OF WHICH: SENIOR EXPOSURES0420
RE-SECURITISATIONS0430
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term0440
CQS 10450
CQS 20460
CQS 30470
ALL OTHER CQS0480
BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term0490
CQS 10500
CQS 20510
CQS 30520
CQS 40530
CQS 50540
CQS 60550
CQS 70560
CQS 80570
CQS 90580
CQS 100590
CQS 110600
CQS 120610
CQS 130620
CQS 140630
CQS 150640
CQS 160650
CQS 170660
ALL OTHER CQS AND UNRATED0670

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