C 13.00 - CR SEC IRB - Credit risk: Securitisations - IRB Approach to own funds requirements





TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATEDSYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURESSECURITISATION POSITIONSCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSUREEXPOSURE 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 WEIGHTS(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONSRISK-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 IRB 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%SUPERVISORY FORMULA METHODLOOK-THROUGHINTERNAL ASSESSMENT APPROACH OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAPAFTER CAP
(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWSTOTAL INFLOWS CQS 1 & S/T CQS 1CQS 2CQS 3CQS 4 & S/T CQS 2CQS 5CQS 6CQS 7 & S/T CQS 3CQS 8CQS 9CQS 10CQS 11ALL OTHER CQSUNRATED AVERAGE RISK WEIGHT (%) OF WHICH: AVERAGE RISK WEIGHT (%) OF WHICH: AVERAGE RISK WEIGHT (%)
CodeLabel010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460
010 TOTAL EXPOSURES11529811368211531311497711500311373911369711359811355611379511364011492611483011485411487811490211386011391411477411416411428711432811436911441011445111449211453311457411420511424611412311473311461511343211462111343811461811343511509911517311517411504911338711525670029115090
020 OF WHICH: RE-SECURITISATIONS11529911368311531411497811500411374011369811359911355711379611364111492711483111485511487911490311386111391511477511416511428811432911437011441111445211449311453411457511420611424711412411473411461611343311462211343911461911343611510011517611517511505011338811525770030115091
030 ORIGINATOR: TOTAL EXPOSURES115297113681115312114976115002113738113696113597113555113794113639114925114829114853114877114901113859113913114773114163114286114327114368114409114450114491114532114573114204114245114122114732114614113431114620113437114617113434115098115171115172115048113386115255
040 ON-BALANCE SHEET ITEMS115306113690115321114985115032113768113726113627113585113824113669114955113889113942114803114192114315114356114397114438114479114520114561114602114233114274114151114761114690113507114708113525115128115231115232115078113416115285
049 - SECURITISATIONS
050 A115311113695115326114990115037113773113731113632113590113829113674114960113894113947114808114197114320114361114402114443114484114525114566114607114238114279114156114766114695113512114713113530115133115242115237115083113421115290
060 B115307113691115322114986115033113769113727113628113586113825113670114956113890113943114804114193114316114357114398114439114480114521114562114603114234114275114152114762114691113508114709113526115129115238115233115079113417115286
070 C115310113694115325114989115036113772113730113631113589113828113673114959113893113946114807114196114319114360114401114442114483114524114565114606114237114278114155114765114694113511114712113529115132115241115236115082113420115289
079 - RE-SECURITISATIONS
080 D115309113693115324114988115035113771113729113630113588113827113672114958113892113945114806114195114318114359114400114441114482114523114564114605114236114277114154114764114693113510114711113528115131115240115235115081113419115288
090 E115308113692115323114987115034113770113728113629113587113826113671114957113891113944114805114194114317114358114399114440114481114522114563114604114235114276114153114763114692113509114710113527115130115239115234115080113418115287
100 OFF-BALANCE SHEET ITEMS AND DERIVATIVES115300113684115315114979115014113750113708113609113567113806113651114937114841114865114889114913113871113924114785114174114297114338114379114420114461114502114543114584114215114256114133114743114636113453114672113489114654113471115110115195115196115060113398115267
109 - SECURITISATIONS
110 A115305113689115320114984115019113755113713113614113572113811113656114942114846114870114894114918113876113929114790114179114302114343114384114425114466114507114548114589114220114261114138114748114641113458114677113494114659113476115115115206115201115065113403115272
120 B115301113685115316114980115015113751113709113610113568113807113652114938114842114866114890114914113872113925114786114175114298114339114380114421114462114503114544114585114216114257114134114744114637113454114673113490114655113472115111115202115197115061113399115268
130 C115304113688115319114983115018113754113712113613113571113810113655114941114845114869114893114917113875113928114789114178114301114342114383114424114465114506114547114588114219114260114137114747114640113457114676113493114658113475115114115205115200115064113402115271
139 - RE-SECURITISATIONS
140 D115303113687115318114982115017113753113711113612113570113809113654114940114844114868114892114916113874113927114788114177114300114341114382114423114464114505114546114587114218114259114136114746114639113456114675113492114657113474115113115204115199115063113401115270
150 E115302113686115317114981115016113752113710113611113569113808113653114939114843114867114891114915113873113926114787114176114299114340114381114422114463114504114545114586114217114258114135114745114638113455114674113491114656113473115112115203115198115062113400115269
160 EARLY AMORTISATION115005113741113699113600113558113797113642114928114832114856114880114904113862114776114623113440115101115178115177115051113389115258
170 INVESTOR: TOTAL EXPOSURES115006113742113700113601113559113798113643114929114833114857114881114905113863113916114777114166114289114330114371114412114453114494114535114576114207114248114125114735114624113441114628113445114626113443115102115179115180115052113390115259
180 ON-BALANCE SHEET ITEMS115026113762113720113621113579113818113663114949113883113936114797114186114309114350114391114432114473114514114555114596114227114268114145114755114684113501114720113537114702113519115122115219115220115072113410115279
189 - SECURITISATIONS
190 A115031113767113725113626113584113823113668114954113888113941114802114191114314114355114396114437114478114519114560114601114232114273114150114760114689113506114725113542114707113524115127115230115225115077113415115284
200 B115027113763113721113622113580113819113664114950113884113937114798114187114310114351114392114433114474114515114556114597114228114269114146114756114685113502114721113538114703113520115123115226115221115073113411115280
210 C115030113766113724113625113583113822113667114953113887113940114801114190114313114354114395114436114477114518114559114600114231114272114149114759114688113505114724113541114706113523115126115229115224115076113414115283
219 - RE-SECURITISATIONS
220 D115029113765113723113624113582113821113666114952113886113939114800114189114312114353114394114435114476114517114558114599114230114271114148114758114687113504114723113540114705113522115125115228115223115075113413115282
230 E115028113764113722113623113581113820113665114951113885113938114799114188114311114352114393114434114475114516114557114598114229114270114147114757114686113503114722113539114704113521115124115227115222115074113412115281
240 OFF-BALANCE SHEET ITEMS AND DERIVATIVES115008113744113702113603113561113800113645114931114835114859114883114907113865113918114779114168114291114332114373114414114455114496114537114578114209114250114127114737114630113447114666113483114648113465115104115183115184115054113392115261
249 - SECURITISATIONS
250 A115013113749113707113608113566113805113650114936114840114864114888114912113870113923114784114173114296114337114378114419114460114501114542114583114214114255114132114742114635113452114671113488114653113470115109115194115189115059113397115266
260 B115009113745113703113604113562113801113646114932114836114860114884114908113866113919114780114169114292114333114374114415114456114497114538114579114210114251114128114738114631113448114667113484114649113466115105115190115185115055113393115262
270 C115012113748113706113607113565113804113649114935114839114863114887114911113869113922114783114172114295114336114377114418114459114500114541114582114213114254114131114741114634113451114670113487114652113469115108115193115188115058113396115265
279 - RE-SECURITISATIONS
280 D115011113747113705113606113564113803113648114934114838114862114886114910113868113921114782114171114294114335114376114417114458114499114540114581114212114253114130114740114633113450114669113486114651113468115107115192115187115057113395115264
290 E115010113746113704113605113563113802113647114933114837114861114885114909113867113920114781114170114293114334114375114416114457114498114539114580114211114252114129114739114632113449114668113485114650113467115106115191115186115056113394115263
300 SPONSOR: TOTAL EXPOSURES115007113743113701113602113560113799113644114930114834114858114882114906113864113917114778114167114290114331114372114413114454114495114536114577114208114249114126114736114625113442114629113446114627113444115103115181115182115053113391115260
310 ON-BALANCE SHEET ITEMS115038113774113732113633113591113830113675114961113895113948114809114198114321114362114403114444114485114526114567114608114239114280114157114767114696113513114726113543114714113531115134115243115244115084113422115291
319 - SECURITISATIONS
320 A115043113779113737113638113596113835113680114966113900113953114814114203114326114367114408114449114490114531114572114613114244114285114162114772114701113518114731113548114719113536115139115254115249115089113427115296
330 B115039113775113733113634113592113831113676114962113896113949114810114199114322114363114404114445114486114527114568114609114240114281114158114768114697113514114727113544114715113532115135115250115245115085113423115292
340 C115042113778113736113637113595113834113679114965113899113952114813114202114325114366114407114448114489114530114571114612114243114284114161114771114700113517114730113547114718113535115138115253115248115088113426115295
349 - RE-SECURITISATIONS
350 D115041113777113735113636113594113833113678114964113898113951114812114201114324114365114406114447114488114529114570114611114242114283114160114770114699113516114729113546114717113534115137115252115247115087113425115294
360 E115040113776113734113635113593113832113677114963113897113950114811114200114323114364114405114446114487114528114569114610114241114282114159114769114698113515114728113545114716113533115136115251115246115086113424115293
370 OFF-BALANCE SHEET ITEMS AND DERIVATIVES115020113756113714113615113573113812113657114943114847114871114895114919113877113930114791114180114303114344114385114426114467114508114549114590114221114262114139114749114642113459114678113495114660113477115116115207115208115066113404115273
379 - SECURITISATIONS
380 A115025113761113719113620113578113817113662114948114852114876114900114924113882113935114796114185114308114349114390114431114472114513114554114595114226114267114144114754114647113464114683113500114665113482115121115218115213115071113409115278
390 B115021113757113715113616113574113813113658114944114848114872114896114920113878113931114792114181114304114345114386114427114468114509114550114591114222114263114140114750114643113460114679113496114661113478115117115214115209115067113405115274
400 C115024113760113718113619113577113816113661114947114851114875114899114923113881113934114795114184114307114348114389114430114471114512114553114594114225114266114143114753114646113463114682113499114664113481115120115217115212115070113408115277
409 - RE-SECURITISATIONS
410 D115023113759113717113618113576113815113660114946114850114874114898114922113880113933114794114183114306114347114388114429114470114511114552114593114224114265114142114752114645113462114681113498114663113480115119115216115211115069113407115276
420 E115022113758113716113617113575113814113659114945114849114873114897114921113879113932114793114182114305114346114387114428114469114510114551114592114223114264114141114751114644113461114680113497114662113479115118115215115210115068113406115275
429 - BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
430 CQS 1 & S/T CQS 1113848113902113981113969113972113973113974113975113976113977113978113979113970113971113968113980115142115143
440 CQS 2113851113905114023114011114014114015114016114017114018114019114020114021114012114013114010114022115148115149
450 CQS 3113852113906114037114025114028114029114030114031114032114033114034114035114026114027114024114036115150115151
460 CQS 4 & S/T CQS 2113853113907114051114039114042114043114044114045114046114047114048114049114040114041114038114050115152115153
470 CQS 5113854113908114065114053114056114057114058114059114060114061114062114063114054114055114052114064115154115155
480 CQS 6113855113909114079114067114070114071114072114073114074114075114076114077114068114069114066114078115156115157
490 CQS 7 & S/T CQS 3113856113910114093114081114084114085114086114087114088114089114090114091114082114083114080114092115158115159
500 CQS 8113857113911114107114095114098114099114100114101114102114103114104114105114096114097114094114106115160115161
510 CQS 9113858113912114121114109114112114113114114114115114116114117114118114119114110114111114108114120115162115163
520 CQS 10113849113903113995113983113986113987113988113989113990113991113992113993113984113985113982113994115144115145
530 CQS 11113850113904114009113997114000114001114002114003114004114005114006114007113998113999113996114008115146115147
540 ALL OTHER CQS113847113901113967113955113958113959113960113961113962113963113964113965113956113957113954113966115140115141




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.