C 12.00 - CR SEC SA - Credit risk: Securitisations - Standardised Approach to own funds requirements





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*)BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORSEXPOSURE VALUEBREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTSRISK-WEIGHTED EXPOSURE AMOUNTOVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONSADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHESTOTAL RISK-WEIGHTED EXPOSURE AMOUNTMEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION 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 0%>0% and <=20%>20% and <=50%>50% and <=100% (-) DEDUCTED FROM OWN FUNDSSUBJECT TO RISK WEIGHTSRATED (CREDIT QUALITY STEPS)1250%LOOK-THROUGHINTERNAL ASSESMENT APPROACH OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAPAFTER CAP
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWSTOTAL INFLOWS CQS 1CQS 2CQS 3CQS 4ALL OTHER CQSUNRATED OF WHICH: SECOND LOSS IN ABCPOF WHICH: AVERAGE RISK WEIGHT (%) OF WHICH: 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
010 TOTAL EXPOSURES11653711557011658711637911640411656211582711560311557911571111550511578611554511635411622611629311630811632311589011592011618611597811600111602411604711607011616311609911609711544511609311544211646611646711642911543211651376882116452
020 OF WHICH: RE-SECURITISATIONS11653811557111658811638011640511656311582811560411558011571211550611578711554611635511622711629411630911632411589111592111618711597911600211602511604811607111616411610011609811544611609411544311646911646811643011543311651476883116453
030 ORIGINATOR: TOTAL EXPOSURES116536115569116586116378116403116561115826115602115578115710115504115785115544116353116225116292116307116322115889115919116185115977116000116023116046116069116162116096116095115444116092115441116464116465116428115431116512
040 ON-BALANCE SHEET ITEMS116542115575116592116384116421116579115844115620115596115728115522115803115562116371115907115936116203115994116017116040116063116086116179116153116150115481116138115472116500116501116446115438116530
050 SECURITISATIONS116544115577116594116386116423116581115846115622115598115730115524115805115564116373115909115938116205115996116019116042116065116088116181116155116152115483116140115474116505116503116448115440116532
060 RE-SECURITISATIONS116543115576116593116385116422116580115845115621115597115729115523115804115563116372115908115937116204115995116018116041116064116087116180116154116151115482116139115473116504116502116447115439116531
070 OFF-BALANCE SHEET ITEMS AND DERIVATIVES116539115572116589116381116412116570115835115611115587115719115513115794115553116362116234116301116316116331115898115927116194115985116008116031116054116077116170116126116123115463116111115454116482116483116437115435116521
080 SECURITISATIONS116541115574116591116383116414116572115837115613115589115721115515115796115555116364116236116303116318116333115900115929116196115987116010116033116056116079116172116128116125115465116113115456116487116485116439115437116523
090 RE-SECURITISATIONS116540115573116590116382116413116571115836115612115588115720115514115795115554116363116235116302116317116332115899115928116195115986116009116032116055116078116171116127116124115464116112115455116486116484116438115436116522
100 EARLY AMORTISATION116406116564115829115605115581115713115507115788115547116356116228116295116310116325115892116188116101116471116470116431115434116515
110 INVESTOR: TOTAL EXPOSURES116407116565115830115606115582115714115508115789115548116357116229116296116311116326115893115922116189115980116003116026116049116072116165116105116104115449116102115447116472116473116432116516
120 ON-BALANCE SHEET ITEMS116418116576115841115617115593115725115519115800115559116368115904115933116200115991116014116037116060116083116176116147116144115478116135115469116494116495116443116527
130 SECURITISATIONS116420116578115843115619115595115727115521115802115561116370115906115935116202115993116016116039116062116085116178116149116146115480116137115471116499116497116445116529
140 RE-SECURITISATIONS116419116577115842115618115594115726115520115801115560116369115905115934116201115992116015116038116061116084116177116148116145115479116136115470116498116496116444116528
150 OFF-BALANCE SHEET ITEMS AND DERIVATIVES116409116567115832115608115584115716115510115791115550116359116231116298116313116328115895115924116191115982116005116028116051116074116167116120116117115460116108115451116476116477116434116518
160 SECURITISATIONS116411116569115834115610115586115718115512115793115552116361116233116300116315116330115897115926116193115984116007116030116053116076116169116122116119115462116110115453116481116479116436116520
170 RE-SECURITISATIONS116410116568115833115609115585115717115511115792115551116360116232116299116314116329115896115925116192115983116006116029116052116075116168116121116118115461116109115452116480116478116435116519
180 SPONSOR: TOTAL EXPOSURES116408116566115831115607115583115715115509115790115549116358116230116297116312116327115894115923116190115981116004116027116050116073116166116107116106115450116103115448116474116475116433116517
190 ON-BALANCE SHEET ITEMS116424116582115847115623115599115731115525115806115565116374115910115939116206115997116020116043116066116089116182116159116156115484116141115475116506116507116449116533
200 SECURITISATIONS116426116584115849115625115601115733115527115808115567116376115912115941116208115999116022116045116068116091116184116161116158115486116143115477116511116509116451116535
210 RE-SECURITISATIONS116425116583115848115624115600115732115526115807115566116375115911115940116207115998116021116044116067116090116183116160116157115485116142115476116510116508116450116534
220 OFF-BALANCE SHEET ITEMS AND DERIVATIVES116415116573115838115614115590115722115516115797115556116365116237116304116319116334115901115930116197115988116011116034116057116080116173116132116129115466116114115457116488116489116440116524
230 SECURITISATIONS116417116575115840115616115592115724115518115799115558116367116239116306116321116336115903115932116199115990116013116036116059116082116175116134116131115468116116115459116493116491116442116526
240 RE-SECURITISATIONS116416116574115839115615115591115723115517115798115557116366116238116305116320116335115902115931116198115989116012116035116058116081116174116133116130115467116115115458116492116490116441116525
249 - BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
250 CQS 1115876115914115948115942115943115944115945115946115947116454116455
260 CQS 2115877115915115955115949115950115951115952115953115954116456116457
270 CQS 3115878115916115962115956115957115958115959115960115961116458116459
280 CQS 4115879115917115969115963115964115965115966115967115968116460116461
290 ALL OTHER CQS AND UNRATED115880115918115976115970115971115972115973115974115975116462116463




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.
Securitisation structureDefines the tranche of the exposure in the securitisation structure.
Securitisation structure - Tranche of the exposure in the securitisation structure
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.