C 19.00 - MKR SA SEC - Market risk: Standardised Approach for specific risk in securitisations





All positions(-) POSITIONS DEDUCTED FROM OWN FUNDSNet positionsBREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTSBREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTSOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONSBEFORE CAPAFTER CAPOWN FUNDS REQUIREMENTS
LongShort(-) Long(-) ShortLongShortRISK WEIGHTS < 1250%1250%SUPERVISORY FORMULA METHODLOOK-THROUGHINTERNAL ASSESMENT APPROACHRISK WEIGHTS < 1250%1250%SUPERVISORY FORMULA METHODLOOK-THROUGHINTERNAL ASSESMENT APPROACHWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONSWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONSSUM OF WEIGHTED NET LONG AND SHORT POSITIONSWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONSSUM OF WEIGHTED NET LONG AND SHORT POSITIONS
7 - 10%12 - 18%20 - 35%40 - 75%100%150%200%225%250%300%350%425%500%650%750%850%RATEDUNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%)7 - 10%12 - 18%20 - 35%40 - 75%100%150%200%225%250%300%350%425%500%650%750%850%RATEDUNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%)
CodeLabel010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 490 500 510 520 530 540 550 560 570 580 590 600 610
010 TOTAL EXPOSURES14539145501504515056388101494814700146951469614698146721467414676146781468014681146831468514686146871468914691146931486014882496471492614904496691485014845148461484814821148231482514827148291483014832148341483514837148391484114843148711489349658149371491549680144541446015002150344971214959149914969114507
020 Of which: RE-SECURITISATIONS1454014551150461505738811149491469714699146731467514677146791468214684851691468814690146921469414861148834964814927149054967014847148491482214824148261482814831148331483614838148401484214844148721489449659149381491649681150031503549722149601499249701
030 ORIGINATOR: TOTAL EXPOSURES145331454415039150503880414942146301462214624146271459214595145971459914601146031460514608146101461214615146171461914854148764964114920148984966314779147711477314776147411474414746147481475014752147541475714759147611476414766147681486514887496521493114909496741445214458149961502849706149531498549685
040 SECURITISATIONS14535145461504115052388061494414631146231462614629145941460214607146091461414621148561487849643149221490049665147801477214775147781474314751147561475814763147701486714889496541493314911496761445314459149981503049708149551498749687
050 RE-SECURITISATIONS1453414545150401505138805149431462514628145931459614598146001460414606146111461314616146181462014855148774964214921148994966414774147771474214745147471474914753147551476014762147651476714769148661488849653149321491049675149971502949707149541498649686
060 INVESTOR: TOTAL EXPOSURES145301454115036150473880114939145901458214584145871455214555145571455914561145631456514568145701457214575145771457914851148734963814917148954966014739147311473314736147011470414706147081471014712147141471714719147211472414726147281486214884496491492814906496711445014456149931502549703149501498249682
070 SECURITISATIONS14532145431503815049388031494114591145831458614589145541456214567145691457414581148531487549640149191489749662147401473214735147381470314711147161471814723147301486414886496511493014908496731445114457149951502749705149521498449684
080 RE-SECURITISATIONS1453114542150371504838802149401458514588145531455614558145601456414566145711457314576145781458014852148744963914918148964966114734147371470214705147071470914713147151472014722147251472714729148631488549650149291490749672149941502649704149511498349683
090 SPONSOR: TOTAL EXPOSURES14536145471504215053388071494514670146621466414667146321463514637146391464114643146451464814650146521465514657146591485714879496441492314901496661481914811148131481614781147841478614788147901479214794147971479914801148041480614808148681489049655149341491249677149991503149709149561498849688
100 SECURITISATIONS1453814549150441505538809149471467114663146661466914634146421464714649146541466114859148814964614925149034966814820148121481514818147831479114796147981480314810148701489249657149361491449679150011503349711149581499049690
110 RE-SECURITISATIONS1453714548150431505438808149461466514668146331463614638146401464414646146511465314656146581466014858148804964514924149024966714814148171478214785147871478914793147951480014802148051480714809148691489149656149351491349678150001503249710149571498949689
119 - BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES
120 1. Residential mortgages4972149700
130 2. Commercial mortgages4971349692
140 3. Credit card receivables4971649695
150 4. Leasing4971749696
160 5. Loans to corporates or SMEs4971849697
170 6. Consumer loans4971449693
180 7. Trade receivables4972349702
190 8. Other assets4971949698
200 9. Covered Bonds4971549694
210 10. Other liabilities4972049699




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)
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).
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 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.