C 13.01 - CR SEC - (CR SEC) Credit risk: Securitisations





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 CRM OF WHICH: SUBJECT TO A CCF OF 0% (-) DEDUCTED FROM OWN FUNDSSUBJECT TO RISK WEIGHTSSEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHOTHER (RW=1250%) SEC-IRBASEC-SASEC-ERBAINTERNAL ASSESSMENT APPROACHOTHER (RW=1250%)OF WHICH: SYNTHETIC SECURITISATIONS
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWSTOTAL INFLOWS BREAKDOWN BY RW BANDSOF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES) BREAKDOWN BY RW BANDS BREAKDOWN BY CREDIT QUALITY STEPSBREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA BREAKDOWN BY RW BANDS OF 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 ART. 254(2)(a) CRRPOSITIONS SUBJECT TO ART. 254(2)(b) CRRPOSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRRFOLLOWING THE HIERARCHY OF APPROACHES AVERAGE 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 ART. 254(2)(a) CRRPOSITIONS SUBJECT TO ART. 254(2)(b) CRRPOSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRRFOLLOWING 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
CodeLabel001000200030004000500060007000800090010001100120013001400150016001700180019002000210022002300240025002600270028002900300031003200330034003500360037003800390040004100420043004400450046004700480049005000510052005300540055005600570058005900600061006200630064006500660067006800690070007100720073007400750076007700780079008000810082008300840085008600870088008900900091009200930
0010TOTAL EXPOSURES424161423245424247423791423852424195423397423311423268423163423120423354423206423678423650428445428464423477423542423607419737419728419722419725419731419719419734420168420156420150420153420159420162420165422161421180421352421438421997421137421309421395421481421524421567421696421610421653421223421266421739421782421825421868421911421954422040422143422146422149422152422155422158419379419373419367419370419376419364418324423999419995419992420426420423422616422598422601422604422607422610422613419594419249418389424000422969423920424116428487428538424073428608
0020SECURITISATIONS424163423247424249423793423854424197423399423313423270423165423122423356423208423680423652428447428466423479423544423609419739419730419724419727419733419721419736420170420158420152420155420161420164420167422163421182421354421440421999421139421311421397421483421526421569421698421612421655421225421268421741421784421827421870421913421956422042422145422148422151422154422157422160419381419375419369419372419378419366418326424004419997419994420428420425422618422600422603422606422609422612422615419596419251418391424002422971423922424118428489428540424075428610
0030QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT424158423242424244423788423845424188423390423304423261423156423113423347423199423671423643428442428461423470423535423600419676419667419661419664419670419658419673420107420095420089420092420098420101420104422100421173421345421431421990421130421302421388421474421517421560421689421603421646421216421259421732421775421818421861421904421947422033422082422085422088422091422094422097419327419321419315419318419324419312418317423986419979419976420410420407422555422537422540422543422546422549422552419587419242418382423983422962423913424109428480428531424066428601
0040STS EXPOSURES424156423240424242423786423843424186423388423302423259423154423111423345423197423669428440428459423468423533423598419674419665419659419662419668419656419671420105420093420087420090420096420099420102422098421171421343421429421988421128421300421386421472421515421558421687421601421644421214421257421730421773421816421859421902421945422031422080422083422086422089422092422095419325419319419313419316419322419310418315423984419977419974420408420405422553422535422538422541422544422547422550419585419240418380423981423911424107428478428529424064428599
0050SENIOR POSITION IN SMEs SECURITISATIONS424157423241424243423787423844424187423389423303423260423155423112423346423198423670423642428441428460423469423534423599419675419666419660419663419669419657419672420106420094420088420091420097420100420103422099421172421344421430421989421129421301421387421473421516421559421688421602421645421215421258421731421774421817421860421903421946422032422081422084422087422090422093422096419326419320419314419317419323419311418316423985419978419975420409420406422554422536422539422542422545422548422551419586419241418381423982422961423912424108428479428530424065428600
0060NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT424155423239424241423785423842424185423387423301423258423153423110423344423196423668423641428439428458423467423532423597419655419652419650419651419653419649419654420086420082420080420081420083420084420085422079421170421342421428421987421127421299421385421471421514421557421686421600421643421213421256421729421772421815421858421901421944422030422073422074422075422076422077422078419309419307419305419306419308419304418314423980419973419972420404420403422534422528422529422530422531422532422533419584419239418379423979422960423910424106428477428528424063428598
0070RE-SECURITISATIONS424162423246424248423792423853424196423398423312423269423164423121423355423207423679423651428446428465423478423543423608419738419729419723419726419732419720419735420169420157420151420154420160420163420166422162421181421353421439421998421138421310421396421482421525421568421697421611421654421224421267421740421783421826421869421912421955422041422144422147422150422153422156422159419380419374419368419371419377419365418325424003419996419993420427420424422617422599422602422605422608422611422614419595419250418390424001422970423921424117428488428539424074428609
0080ORIGINATOR: TOTAL EXPOSURES424159423243424245423789423848424191423393423307423264423159423116423350423202423674423646428443428462423473423538423603419703419697419693419695419699419691419701420134420126420122420124420128420130420132422127421176421348421434421993421133421305421391421477421520421563421692421606421649421219421262421735421778421821421864421907421950422036422115422117422119422121422123422125419350419346419342419344419348419340418320423991419986419984420417420415422582422570422572422574422576422578422580419590419245418385423992422965423916424112428483428534424069428604
0090SECURITISATIONS: ON-BALANCE SHEET ITEMS424173423257424259423803423883424226423428423342423299423194423151423385423237423709428457428476423508423573423638419942419939419937419938419940419936419941420373420369420367420368420370420371420372422366421211421383421469422028421168421340421426421512421555421598421727421641421684421254421297421770421813421856421899421942421985422071422360422361422362422363422364422365419555419553419551419552419554419550418355424056420055420054420486420485422821422815422816422817422818422819422820419625419280418420424055423951424147428518428569424104428639
0100QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT424172423256424258423802423879424222423424423338423295423190423147423381423233423705428456428475423504423569423634419914419908419904419906419910419902419912420345420337420333420335420339420341420343422338421207421379421465422024421164421336421422421508421551421594421723421637421680421250421293421766421809421852421895421938421981422067422326422328422330422332422334422336419531419527419523419525419529419521418351424050420047420045420478420476422793422781422783422785422787422789422791419621419276418416423947424143428514428565424100428635
0110OF WHICH: SENIOR EXPOSURES424171423255424257423801423878424221423423423337423294423189423146423380423232423704428455428474423503423568423633419913419907419903419905419909419901419911420344420336420332420334420338420340420342422337421206421378421464422023421163421335421421421507421550421593421722421636421679421249421292421765421808421851421894421937421980422066422325422327422329422331422333422335419530419526419522419524419528419520418350424049420046420044420477420475422792422780422782422784422786422788422790419620419275418415423946424142428513428564424099428634
0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT424170423254424256423800423873424216423418423332423289423184423141423375423227423699428454428473423498423563423628419872419866419862419864419868419860419870420303420295420291420293420297420299420301422296421201421373421459422018421158421330421416421502421545421588421717421631421674421244421287421760421803421846421889421932421975422061422284422286422288422290422292422294419495419491419487419489419493419485418345424042420035420033420466420464422751422739422741422743422745422747422749419615419270418410424040423941424137428508428559424094428629
0130OF WHICH: SENIOR EXPOSURES424169423253424255423799423872424215423417423331423288423183423140423374423226423698428453428472423497423562423627419871419865419861419863419867419859419869420302420294420290420292420296420298420300422295421200421372421458422017421157421329421415421501421544421587421716421630421673421243421286421759421802421845421888421931421974422060422283422285422287422289422291422293419494419490419486419488419492419484418344424041420034420032420465420463422750422738422740422742422744422746422748419614419269418409424039423940424136428507428558424093428628
0140SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES424168423252424254423798423868424211423413423327423284423179423136423370423222423694423666428452428471423493423558423623419837419834419832419833419835419831419836420268420264420262420263420265420266420267422261421196421368421454422013421153421325421411421497421540421583421712421626421669421239421282421755421798421841421884421927421970422056422255422256422257422258422259422260419465419463419461419462419464419460418340424032420025420024420456420455422716422710422711422712422713422714422715419610419265418405424031422985423936424132428503428554424089428624
0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT424167423251424253423797423864424207423409423323423280423175423132423366423218423690423662428451428470423489423554423619419809419803419799419801419805419797419807420240420232420228420230420234420236420238422233421192421364421450422009421149421321421407421493421536421579421708421622421665421235421278421751421794421837421880421923421966422052422221422223422225422227422229422231419441419437419433419435419439419431418336424024420017420015420448420446422688422676422678422680422682422684422686419606419261418401424022422981423932424128428499428550424085428620
0160OF WHICH: SENIOR EXPOSURES424166423250424252423796423863424206423408423322423279423174423131423365423217423689423661428450428469423488423553423618419808419802419798419800419804419796419806420239420231420227420229420233420235420237422232421191421363421449422008421148421320421406421492421535421578421707421621421664421234421277421750421793421836421879421922421965422051422220422222422224422226422228422230419440419436419432419434419438419430418335424023420016420014420447420445422687422675422677422679422681422683422685419605419260418400424021422980423931424127428498428549424084428619
0170NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT424165423249424251423795423858424201423403423317423274423169423126423360423212423684423656428449428468423483423548423613419767419761419757419759419763419755419765420198420190420186420188420192420194420196422191421186421358421444422003421143421315421401421487421530421573421702421616421659421229421272421745421788421831421874421917421960422046422179422181422183422185422187422189419405419401419397419399419403419395418330424012420005420003420436420434422646422634422636422638422640422642422644419600419255418395424010422975423926424122428493428544424079428614
0180OF WHICH: SENIOR EXPOSURES424164423248424250423794423857424200423402423316423273423168423125423359423211423683423655428448428467423482423547423612419766419760419756419758419762419754419764420197420189420185420187420191420193420195422190421185421357421443422002421142421314421400421486421529421572421701421615421658421228421271421744421787421830421873421916421959422045422178422180422182422184422186422188419404419400419396419398419402419394418329424011420004420002420435420433422645422633422635422637422639422641422643419599419254418394424009422974423925424121428492428543424078428613
0190RE-SECURITISATIONS424160423244424246423790423849424192423394423308423265423160423117423351423203423675423647428444428463423474423539423604419704419698419694419696419700419692419702420135420127420123420125420129420131420133422128421177421349421435421994421134421306421392421478421521421564421693421607421650421220421263421736421779421822421865421908421951422037422116422118422120422122422124422126419351419347419343419345419349419341418321423994419987419985420418420416422583422571422573422575422577422579422581419591419246418386423993422966423917424113428484428535424070428605
0200INVESTOR: TOTAL EXPOSURES423846424189423391423305423262423157423114423348423200423672423644423471423536423601419689419683419679419681419685419677419687420120420112420108420110420114420116420118422113421174421346421432421991421131421303421389421475421518421561421690421604421647421217421260421733421776421819421862421905421948422034422101422103422105422107422109422111419338419334419330419332419336419328418318423987419982419980420413420411422568422556422558422560422562422564422566419588419243418383423988422963423914424110428481428532424067428602
0210SECURITISATIONS: ON-BALANCE SHEET ITEMS423882424225423427423341423298423193423150423384423236423708423507423572423637419935419932419930419931419933419929419934420366420362420360420361420363420364420365422359421210421382421468422027421167421339421425421511421554421597421726421640421683421253421296421769421812421855421898421941421984422070422353422354422355422356422357422358419549419547419545419546419548419544418354424054420053420052420484420483422814422808422809422810422811422812422813419624419279418419424053423950424146428517428568424103428638
0220QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423877424220423422423336423293423188423145423379423231423703423502423567423632419900419894419890419892419896419888419898420331420323420319420321420325420327420329422324421205421377421463422022421162421334421420421506421549421592421721421635421678421248421291421764421807421850421893421936421979422065422312422314422316422318422320422322419519419515419511419513419517419509418349424048420043420041420474420472422779422767422769422771422773422775422777419619419274418414423945424141428512428563424098428633
0230OF WHICH: SENIOR EXPOSURES423876424219423421423335423292423187423144423378423230423702423501423566423631419899419893419889419891419895419887419897420330420322420318420320420324420326420328422323421204421376421462422021421161421333421419421505421548421591421720421634421677421247421290421763421806421849421892421935421978422064422311422313422315422317422319422321419518419514419510419512419516419508418348424047420042420040420473420471422778422766422768422770422772422774422776419618419273418413423944424140428511428562424097428632
0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423871424214423416423330423287423182423139423373423225423697423496423561423626419858419852419848419850419854419846419856420289420281420277420279420283420285420287422282421199421371421457422016421156421328421414421500421543421586421715421629421672421242421285421758421801421844421887421930421973422059422270422272422274422276422278422280419483419479419475419477419481419473418343424038420031420029420462420460422737422725422727422729422731422733422735419613419268418408424036423939424135428506428557424092428627
0250OF WHICH: SENIOR EXPOSURES423870424213423415423329423286423181423138423372423224423696423495423560423625419857419851419847419849419853419845419855420288420280420276420278420282420284420286422281421198421370421456422015421155421327421413421499421542421585421714421628421671421241421284421757421800421843421886421929421972422058422269422271422273422275422277422279419482419478419474419476419480419472418342424037420030420028420461420459422736422724422726422728422730422732422734419612419267418407424035423938424134428505428556424091428626
0260SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES423867424210423412423326423283423178423135423369423221423693423665423492423557423622419830419827419825419826419828419824419829420261420257420255420256420258420259420260422254421195421367421453422012421152421324421410421496421539421582421711421625421668421238421281421754421797421840421883421926421969422055422248422249422250422251422252422253419459419457419455419456419458419454418339424030420023420022420454420453422709422703422704422705422706422707422708419609419264418404424029422984423935424131428502428553424088428623
0270QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423862424205423407423321423278423173423130423364423216423688423660423487423552423617419795419789419785419787419791419783419793420226420218420214420216420220420222420224422219421190421362421448422007421147421319421405421491421534421577421706421620421663421233421276421749421792421835421878421921421964422050422207422209422211422213422215422217419429419425419421419423419427419419418334424020420013420011420444420442422674422662422664422666422668422670422672419604419259418399424018422979423930424126428497428548424083428618
0280OF WHICH: SENIOR EXPOSURES423861424204423406423320423277423172423129423363423215423687423659423486423551423616419794419788419784419786419790419782419792420225420217420213420215420219420221420223422218421189421361421447422006421146421318421404421490421533421576421705421619421662421232421275421748421791421834421877421920421963422049422206422208422210422212422214422216419428419424419420419422419426419418418333424019420012420010420443420441422673422661422663422665422667422669422671419603419258418398424017422978423929424125428496428547424082428617
0290NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423856424199423401423315423272423167423124423358423210423682423654423481423546423611419753419747419743419745419749419741419751420184420176420172420174420178420180420182422177421184421356421442422001421141421313421399421485421528421571421700421614421657421227421270421743421786421829421872421915421958422044422165422167422169422171422173422175419393419389419385419387419391419383418328424008420001419999420432420430422632422620422622422624422626422628422630419598419253418393424006422973423924424120428491428542424077428612
0300OF WHICH: SENIOR EXPOSURES423855424198423400423314423271423166423123423357423209423681423653423480423545423610419752419746419742419744419748419740419750420183420175420171420173420177420179420181422176421183421355421441422000421140421312421398421484421527421570421699421613421656421226421269421742421785421828421871421914421957422043422164422166422168422170422172422174419392419388419384419386419390419382418327424007420000419998420431420429422631422619422621422623422625422627422629419597419252418392424005422972423923424119428490428541424076428611
0310RE-SECURITISATIONS423847424190423392423306423263423158423115423349423201423673423645423472423537423602419690419684419680419682419686419678419688420121420113420109420111420115420117420119422114421175421347421433421992421132421304421390421476421519421562421691421605421648421218421261421734421777421820421863421906421949422035422102422104422106422108422110422112419339419335419331419333419337419329418319423990419983419981420414420412422569422557422559422561422563422565422567419589419244418384423989422964423915424111428482428533424068428603
0320SPONSOR: TOTAL EXPOSURES423850424193423395423309423266423161423118423352423204423676423648423475423540423605419717419711419707419709419713419705419715420148420140420136420138420142420144420146422141421178421350421436421995421135421307421393421479421522421565421694421608421651421221421264421737421780421823421866421909421952422038422129422131422133422135422137422139419362419358419354419356419360419352418322423995419990419988420421420419422596422584422586422588422590422592422594419592419247418387423996422967423918424114428485428536424071428606
0330SECURITISATIONS: ON-BALANCE SHEET ITEMS423884424227423429423343423300423195423152423386423238423710423509423574423639419949419946419944419945419947419943419948420380420376420374420375420377420378420379422373421212421384421470422029421169421341421427421513421556421599421728421642421685421255421298421771421814421857421900421943421986422072422367422368422369422370422371422372419561419559419557419558419560419556418356424058420057420056420488420487422828422822422823422824422825422826422827419626419281418421424057423952424148428519428570424105428640
0340QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423881424224423426423340423297423192423149423383423235423707423506423571423636419928419922419918419920419924419916419926420359420351420347420349420353420355420357422352421209421381421467422026421166421338421424421510421553421596421725421639421682421252421295421768421811421854421897421940421983422069422340422342422344422346422348422350419543419539419535419537419541419533418353424052420051420049420482420480422807422795422797422799422801422803422805419623419278418418423949424145428516428567424102428637
0350OF WHICH: SENIOR EXPOSURES423880424223423425423339423296423191423148423382423234423706423505423570423635419927419921419917419919419923419915419925420358420350420346420348420352420354420356422351421208421380421466422025421165421337421423421509421552421595421724421638421681421251421294421767421810421853421896421939421982422068422339422341422343422345422347422349419542419538419534419536419540419532418352424051420050420048420481420479422806422794422796422798422800422802422804419622419277418417423948424144428515428566424101428636
0360NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423875424218423420423334423291423186423143423377423229423701423500423565423630419886419880419876419878419882419874419884420317420309420305420307420311420313420315422310421203421375421461422020421160421332421418421504421547421590421719421633421676421246421289421762421805421848421891421934421977422063422298422300422302422304422306422308419507419503419499419501419505419497418347424046420039420037420470420468422765422753422755422757422759422761422763419617419272418412424044423943424139428510428561424096428631
0370OF WHICH: SENIOR EXPOSURES423874424217423419423333423290423185423142423376423228423700423499423564423629419885419879419875419877419881419873419883420316420308420304420306420310420312420314422309421202421374421460422019421159421331421417421503421546421589421718421632421675421245421288421761421804421847421890421933421976422062422297422299422301422303422305422307419506419502419498419500419504419496418346424045420038420036420469420467422764422752422754422756422758422760422762419616419271418411424043423942424138428509428560424095428630
0380SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES423869424212423414423328423285423180423137423371423223423695423667423494423559423624419844419841419839419840419842419838419843420275420271420269420270420272420273420274422268421197421369421455422014421154421326421412421498421541421584421713421627421670421240421283421756421799421842421885421928421971422057422262422263422264422265422266422267419471419469419467419468419470419466418341424034420027420026420458420457422723422717422718422719422720422721422722419611419266418406424033422986423937424133428504428555424090428625
0390QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423866424209423411423325423282423177423134423368423220423692423664423491423556423621419823419817419813419815419819419811419821420254420246420242420244420248420250420252422247421194421366421452422011421151421323421409421495421538421581421710421624421667421237421280421753421796421839421882421925421968422054422235422237422239422241422243422245419453419449419445419447419451419443418338424028420021420019420452420450422702422690422692422694422696422698422700419608419263418403424026422983423934424130428501428552424087428622
0400OF WHICH: SENIOR EXPOSURES423865424208423410423324423281423176423133423367423219423691423663423490423555423620419822419816419812419814419818419810419820420253420245420241420243420247420249420251422246421193421365421451422010421150421322421408421494421537421580421709421623421666421236421279421752421795421838421881421924421967422053422234422236422238422240422242422244419452419448419444419446419450419442418337424027420020420018420451420449422701422689422691422693422695422697422699419607419262418402424025422982423933424129428500428551424086428621
0410NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT423860424203423405423319423276423171423128423362423214423686423658423485423550423615419781419775419771419773419777419769419779420212420204420200420202420206420208420210422205421188421360421446422005421145421317421403421489421532421575421704421618421661421231421274421747421790421833421876421919421962422048422193422195422197422199422201422203419417419413419409419411419415419407418332424016420009420007420440420438422660422648422650422652422654422656422658419602419257418397424014422977423928424124428495428546424081428616
0420OF WHICH: SENIOR EXPOSURES423859424202423404423318423275423170423127423361423213423685423657423484423549423614419780419774419770419772419776419768419778420211420203420199420201420205420207420209422204421187421359421445422004421144421316421402421488421531421574421703421617421660421230421273421746421789421832421875421918421961422047422192422194422196422198422200422202419416419412419408419410419414419406418331424015420008420006420439420437422659422647422649422651422653422655422657419601419256418396424013422976423927424123428494428545424080428615
0430RE-SECURITISATIONS423851424194423396423310423267423162423119423353423205423677423649423476423541423606419718419712419708419710419714419706419716420149420141420137420139420143420145420147422142421179421351421437421996421136421308421394421480421523421566421695421609421652421222421265421738421781421824421867421910421953422039422130422132422134422136422138422140419363419359419355419357419361419353418323423998419991419989420422420420422597422585422587422589422591422593422595419593419248418388423997422968423919424115428486428537424072428607
0440 - BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term
0450 CQS 1423445423510423575419627420058420545420491420499420503420529420489420497420501420505420507420509420515420511420513420493420495420517420519420521420523420525420527420531420533420535420537420539420541420543419282418292423957419950420381422386422374422376422378422380422382422384419562418357
0460 CQS 2423449423514423579419631420062420661420607420615420619420645420605420613420617420621420623420625420631420627420629420609420611420633420635420637420639420641420643420647420649420651420653420655420657420659419286418296423961419954420385422414422402422404422406422408422410422412419566418361
0470 CQS 3423451423516423581419633420064420719420665420673420677420703420663420671420675420679420681420683420689420685420687420667420669420691420693420695420697420699420701420705420707420709420711420713420715420717419288418298423963419956420387422428422416422418422420422422422424422426419568418363
0480ALL OTHER CQS423465423530423595419647420078421097421070421074421076421089421069421073421075421077421078421079421082421080421081421071421072421083421084421085421086421087421088421090421091421092421093421094421095421096419302418312423977419970420401422520422514422515422516422517422518422519419582418377
0490 - BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term
0500CQS 1423446423511423576419628420059420546420492420500420504420530420490420498420502420506420508420510420516420512420514420494420496420518420520420522420524420526420528420532420534420536420538420540420542420544419283418293423958419951420382422387422375422377422379422381422383422385419563418358
0510CQS 2423450423515423580419632420063420662420608420616420620420646420606420614420618420622420624420626420632420628420630420610420612420634420636420638420640420642420644420648420650420652420654420656420658420660419287418297423962419955420386422415422403422405422407422409422411422413419567418362
0520CQS 3423452423517423582419634420065420720420666420674420678420704420664420672420676420680420682420684420690420686420688420668420670420692420694420696420698420700420702420706420708420710420712420714420716420718419289418299423964419957420388422429422417422419422421422423422425422427419569418364
0530CQS 4423453423518423583419635420066420749420722420726420728420741420721420725420727420729420730420731420734420732420733420723420724420735420736420737420738420739420740420742420743420744420745420746420747420748419290418300423965419958420389422436422430422431422432422433422434422435419570418365
0540CQS 5423454423519423584419636420067420778420751420755420757420770420750420754420756420758420759420760420763420761420762420752420753420764420765420766420767420768420769420771420772420773420774420775420776420777419291418301423966419959420390422443422437422438422439422440422441422442419571418366
0550CQS 6423455423520423585419637420068420807420780420784420786420799420779420783420785420787420788420789420792420790420791420781420782420793420794420795420796420797420798420800420801420802420803420804420805420806419292418302423967419960420391422450422444422445422446422447422448422449419572418367
0560CQS 7423458423523423588419640420071420894420867420871420873420886420866420870420872420874420875420876420879420877420878420868420869420880420881420882420883420884420885420887420888420889420890420891420892420893419295418305423970419963420394422471422465422466422467422468422469422470419575418370
0570CQS 8423456423521423586419638420069420836420809420813420815420828420808420812420814420816420817420818420821420819420820420810420811420822420823420824420825420826420827420829420830420831420832420833420834420835419293418303423968419961420392422457422451422452422453422454422455422456419573418368
0580CQS 9423457423522423587419639420070420865420838420842420844420857420837420841420843420845420846420847420850420848420849420839420840420851420852420853420854420855420856420858420859420860420861420862420863420864419294418304423969419962420393422464422458422459422460422461422462422463419574418369
0590CQS 10423447423512423577419629420060420575420548420552420554420567420547420551420553420555420556420557420560420558420559420549420550420561420562420563420564420565420566420568420569420570420571420572420573420574419284418294423959419952420383422394422388422389422390422391422392422393419564418359
0600CQS 11423448423513423578419630420061420604420577420581420583420596420576420580420582420584420585420586420589420587420588420578420579420590420591420592420593420594420595420597420598420599420600420601420602420603419285418295423960419953420384422401422395422396422397422398422399422400419565418360
0610CQS 12423459423524423589419641420072420923420896420900420902420915420895420899420901420903420904420905420908420906420907420897420898420909420910420911420912420913420914420916420917420918420919420920420921420922419296418306423971419964420395422478422472422473422474422475422476422477419576418371
0620CQS 13423460423525423590419642420073420952420925420929420931420944420924420928420930420932420933420934420937420935420936420926420927420938420939420940420941420942420943420945420946420947420948420949420950420951419297418307423972419965420396422485422479422480422481422482422483422484419577418372
0630CQS 14423461423526423591419643420074420981420954420958420960420973420953420957420959420961420962420963420966420964420965420955420956420967420968420969420970420971420972420974420975420976420977420978420979420980419298418308423973419966420397422492422486422487422488422489422490422491419578418373
0640CQS 15423462423527423592419644420075421010420983420987420989421002420982420986420988420990420991420992420995420993420994420984420985420996420997420998420999421000421001421003421004421005421006421007421008421009419299418309423974419967420398422499422493422494422495422496422497422498419579418374
0650CQS 16423463423528423593419645420076421039421012421016421018421031421011421015421017421019421020421021421024421022421023421013421014421025421026421027421028421029421030421032421033421034421035421036421037421038419300418310423975419968420399422506422500422501422502422503422504422505419580418375
0660CQS 17423464423529423594419646420077421068421041421045421047421060421040421044421046421048421049421050421053421051421052421042421043421054421055421056421057421058421059421061421062421063421064421065421066421067419301418311423976419969420400422513422507422508422509422510422511422512419581418376
0670ALL OTHER CQS423466423531423596419648420079421126421099421103421105421118421098421102421104421106421107421108421111421109421110421100421101421112421113421114421115421116421117421119421120421121421122421123421124421125419303418313423978419971420402422527422521422522422523422524422525422526419583418378




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Approach for prudential purposesApproach used for the calculation of capital requirements.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Exposure classDefines the exposure class for capital requirement purposes
Exposure classes - Defines the exposure class for capital requirement purposes
Type of riskIndicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Type of risk - Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Conversion factors for off-balance sheet itemsFor off-balance sheet items, it specifies the value of the conversion factors to be applied to calculate their exposure value.
Percentages - Percentages
CRM Effects/CollateralWhen Credit Risk Mitigation techniques are used, it specifies the type of technique that is applied and the effects of that technique.
Credit protection - Concepts related with the application of Credit Risk Mitigation techniques.
Exposures by Credit Quality steps at inceptionDefines the credit quality of the securitisation position according to the Credit Quality Steps scale at inception.
Credit quality - Defines the credit quality of the exposures according to the Credit Quality Steps scale
Exposures by Credit Quality steps at reporting dateDefines the credit quality of the securitisation exposure position to the Credit Quality Steps scale at the reporting date.
Credit quality - Defines the credit quality of the exposures according to the Credit Quality Steps scale
Methods to determine risk weightsDefines the relevant method used to determine the risk weights for capital requirements purposes.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Prudential portfolioDefines whether it is reported the trading book business, the "banking" book business, or both of them.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Risk weightsSpecifies the value of the risk weights that are applied to an exposure for capital requirement purposes.
Percentages - Percentages
Role in the securitisation processDefines the role played by the reporting entity in the securitisation process.
Role in the securitisation process - Defines the role played by the reporting entity in the securitisation process.
Type of risk transferDefines the way in which a risk has been transferred in a securitisation (traditional or synthetic securitisations).
Risk transfer treatment - Type of risk transfer (synthetic or transitional securitisations) and accounting treatment of the transaction
Type of securitisationSpecifies the type of securitisation.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Type of underlyingFor securitisations, defines the underlying securitised items.
Underlying exposures in securitisations - Underlying exposures in securitisations
Use of external ratingsDefines the type of credit external ratings applying to the exposure.
External ratings - Concepts related with external credit ratings.