C 14.00 - CR SEC Details - Detailed information on securitisations





ROW NUMBERINTERNAL CODEIDENTIFIER OF THE SECURITISATIONIDENTIFIER OF THE ORIGINATORSECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)ACCOUNTING TREATMENT: Securitised assets are kept or removed from the balance sheet?SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?SECURITISATION OR RE-SECURITISATION ?RETENTIONROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)NON-ABCP PROGRAMMESSECURITISED EXPOSURESSECURITISATION STRUCTURESECURITISATION POSITIONS(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDSTOTAL RISK WEIGHTED EXPOSURE AMOUNTSECURITISATION POSITIONS - TRADING BOOK
TYPE OF RETENTION APPLIED% OF RETENTION AT REPORTING DATECOMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATETOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATETOTAL AMOUNTINSTITUTION'S SHARE (%)TYPEApproach APPLIED (SA/IRB/MIX)NUMBER OF EXPOSURESCOUNTRYELGD (%)(-) VALUE ADJUSTMENTS AND PROVISIONSOWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)ON-BALANCE SHEET ITEMSOFF-BALANCE SHEET ITEMS AND DERIVATIVESMATURITYORIGINAL EXPOSURE PRE CONVERSION FACTORSMEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVESEARLY AMORTISATION BEFORE CAPAFTER CAPCTP OR NON-CTP?NET POSITIONSTOTAL OWN FUNDS REQUIREMENTS (SA)
SENIORMEZZANINEFIRST LOSSSENIORMEZZANINEFIRST LOSSFIRST FORESEEABLE TERMINATION DATELEGAL FINAL MATURITY DATEON-BALANCE SHEET ITEMSOFF-BALANCE SHEET ITEMS AND DERIVATIVESDIRECT CREDIT SUBSTITUTESIRS / CRSELIGIBLE LIQUIDITY FACILITIESOTHER (including non-eligible LF)CONVERSION FACTOR APPLIED LONGSHORTSPECIFIC RISK
SENIORMEZZANINEFIRST LOSSSENIORMEZZANINEFIRST LOSS
CodeLabel005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480
999 Row Number109509109534109497109529109491109525109531109528109521109498109524109518109527109526109520109530109496109511109500109442109532109519109506109505109504109503109502109501109508109510109517109516109515109514109513109512109492109494109493109495109499109507109523109522109533109443109444109399




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)
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).
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)
Securitisation Row NumberRow number of securitisation details entry in table C 14 (artificial sequential number, unique per report)
Integers - Integers
Positions in the instrumentDefines the position (long/short) taken in the instrument, as well as the aggregation level related to the market risk capital requirement calculations (gross/net).
Positions in the instrument - Defines the position (long/short) taken in the instrument, as well as the aggregation level related to the market risk capital requirement calculations (gross/net).
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).
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.
Securitisation structureDefines the tranche of the exposure in the securitisation structure.
Securitisation structure - Tranche of the exposure in the securitisation structure
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.