Division 113c The template SEC DETAILS 2 shall be reported separately for the following approaches:F1
United Kingdom
- 1))
SEC-IRBA;
- 2))
SEC-SA;
- 3))
SEC-ERBA;
- 4))
1 250 %.
Columns 005 ROW NUMBER
The row number is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.
010 INTERNAL CODE
Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction.
020 IDENTIFIER OF THE SECURITISATION (Code/Name)
Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column.
310-400 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS
This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.
310-330 ON-BALANCE SHEET ITEMS
The same criteria of classification among tranches used for columns 230, 240 and 250 shall be applied here.
340-361 OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.
351 and 361 RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT
% RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR.
370-400 MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS
This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-361).
370 DIRECT CREDIT SUBSTITUTES (DCS)
This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS).
In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS:
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Guarantees having the character of credit substitutes.
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Irrevocable standby letters of credit having the character of credit substitutes.
380 IRS/CRS
IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR.
390 LIQUIDITY FACILITIES
Liquidity facilities (LF) as defined in Article 242(3) CRR.
400 OTHER
Remaining off-balance sheet items.
411 EXPOSURE VALUE
This information is closely related to column 0180 in the CR SEC template.
420 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
This information is closely related to column 0190 in the CR SEC template.
A negative figure shall be reported in this column.
430 TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP
This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column.
In the case of securitisations of liabilities, this column shall not be reported.
In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 570 of MKR SA SEC, or columns 410 and 420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.
431 (-) REDUCTION DUE TO RISK WEIGHT CAP
Article 267 CRR
432 (-) REDUCTION DUE TO OVERALL CAP
Article 268 CRR
440 TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP
This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column.
In the case of securitisations of liabilities, this column shall not be reported.
In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 600 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.
447-448 MEMORANDUM ITEMS
447 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA
Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.
448 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA
Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.
450-470 SECURITISATION POSITIONS – TRADING BOOK
450 CTP OR NON-CTP?
Institutions shall report the following abbreviations:
C – Correlation Trading Portfolio (CTP);
N – Non-CTP
460-470 NET POSITIONS – LONG/SHORT
See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.
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