Division 5.2.2 Instructions concerning specific positionsF1
United Kingdom
| Columns | |
|---|---|
| 010-020 | ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR. |
| 030-040 | (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR |
| 050-060 | NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR. |
| 061-104 | BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions. |
| 402-406 | BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR |
| 402 | SEC-IRBA Article 259 and 260 CRR |
| 403 | SEC-SA Article 261 and 262 CRR |
| 404 | SEC-ERBA Article 263 and 264 CRR |
| 405 | INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR. |
| 406 | OTHER (RW = 1 250 %) Article 254(7) CRR |
| 530-540 | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a CRR |
| 570 | BEFORE CAP Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. |
| 601 | AFTER CAP/TOTAL OWN FUND REQUIREMENTS Article 337 CRR, taking into account the discretion of Article 335 CRR. |
| Rows | |
|---|---|
| 010 | TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor. |
| 040, 070 and 100 | SECURITISATION POSITIONS Point 62 of Article 4(1) CRR. |
| 020, 050, 080 and110 | RE-SECURITISATIONS POSITIONS Point 64 of Article 4(1) CRR |
| 041, 071 and 101 | OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment. |
| 030-050 | ORIGINATOR Point (13) of Article 4(1) CRR |
| 060-080 | INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender. |
| 090-110 | SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets. |