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Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

Type Implementing Regulation
Publication 2021-03-19
Last updated 2024-09-01
State In force
Department European Commission, FISMA
Source EUR-Lex
articles 24
Reform history JSON API
Columns Columns
0010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions shall report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) of Regulation (EU) No 575/2013, in a securitisation of revolving exposures.
0020-0040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 251 and 252 of Regulation (EU) No 575/2013. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.
0020 (-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) of Regulation (EU) No 575/2013.
0030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) Following the general rule for ‘inflows’ and ‘outflows’, the amounts reported under this column shall appear as ‘inflows’ in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the ‘foreign exchange risk’- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) of Regulation (EU) No 575/2013.
0040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.
0050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with Article 248, paragraphs 1 and 2 of Regulation (EU) No 575/2013, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in Article 248(1), point (d), of Regulation (EU) No 575/2013, and gross of value adjustments and provisions on the securitisation position. Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.
0060 (-) VALUE ADJUSTMENTS AND PROVISIONS Article 248 of Regulation (EU) No 575/2013. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.
0070 EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS This column shall include the exposure values of securitisation positions calculated in accordance with Article 248(1) and (2) of Regulation (EU) No 575/2013, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in Article 248(1), point (d), of Regulation (EU) No 575/2013, and net of value adjustments and provisions on the securitisation position.
0080-0110 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Article 4(1), point (57), Part Three, Title II, Chapter 4 and Article 249 of Regulation (EU) No 575/2013 Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: 1. collateral, incorporated in accordance with Article 222 of Regulation (EU) No 575/2013 (Financial Collateral Simple Method); 2. eligible unfunded credit protection.
0080 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection as defined in Article 4(1), point (59), Articles 234 to 236 of Regulation (EU) No 575/2013.
0090 (-) FUNDED CREDIT PROTECTION Funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013, as referred to in the Article 249(2), first subparagraph of that Regulation and as regulated in Articles 195, 197 and 200 of that Regulation. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 of Regulation (EU) No 575/2013 shall be treated as cash collateral.
0100-0110 SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.
0100 (-) TOTAL OUTFLOWS Article 222(3), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013. Outflows shall correspond to the covered part of the ‘Exposure net of value adjustments and provisions’ that is deducted from the obligor's exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, where relevant, risk weight or obligor grade. That amount shall be considered as an Inflow into the protection provider's exposure class and, where relevant, risk weights or obligor grades.
0110 TOTAL INFLOWS Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) of Regulation (EU) No 575/2013 and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.
0120 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to ‘Credit risk mitigation (CRM) techniques with substitution effects on the exposure’.
0130 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 223 to 228 of Regulation (EU) No 575/2013 The reported amount shall also include credit linked notes (Article 218 of Regulation (EU) No 575/2013).
0140 FULLY ADJUSTED EXPOSURE VALUE (E*) The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013, but without applying the conversion factors laid down in Article 248(1), point (b), of that Regulation
0150 OF WHICH: SUBJECT TO A CCF OF 0 % Article 248(1), point (b), of Regulation (EU) No 575/2013 In this respect, Article 4(1), point (56), of Regulation (EU) No 575/2013 defines a conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.
0160 (-)NON REFUNDABLE PURCHASE PRICE DISCOUNT In accordance with Article 248(1), point (d), of Regulation (EU) No 575/2013, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.
0170 (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES In accordance with Article 248(1), point (d), of Regulation (EU) No 575/2013, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 of Regulation (EU) No 575/2013.
0180 EXPOSURE VALUE The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013
0190 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with Article 244(1), point (b), Article 245(1), point (b) and Article 253(1) of Regulation (EU) No 575/2013, in case of a securitisation position to which a 1 250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.
0200 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds.
0210 SEC-IRBA Article 254(1), point (a), of Regulation (EU) No 575/2013
0220-0260 BREAKDOWN BY RW BANDS SEC-IRBA exposures broken down by risk-weight bands.
0270 OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES) Article 255(4) of Regulation (EU) No 575/2013 For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.
0280 SEC-SA Article 254(1), point (b), of Regulation (EU) No 575/2013
0290-0340 BREAKDOWN BY RW BANDS SEC-SA exposures broken down by risk-weight bands. For the RW = 1 250 % (W unknown), Article 261(2), point (b), fourth paragraph of Regulation (EU) No 575/2013 stipulates that the position in the securitisation shall be risk-weighted at 1 250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.
0350 SEC-ERBA Article 254(1), point (c), of Regulation (EU) No 575/2013
0360-0570 BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS) Article 263 of Regulation (EU) No 575/2013 SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) of Regulation (EU) No 575/2013 shall be reported as positions with a rating. Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013.
0580-0630 BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.
0580 AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES Article 254(2), point (c), of Regulation (EU) No 575/2013 All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2), point (a) or (b) of Regulation (EU) No 575/2013.
0590 SEC-ERBA OPTION Article 254(3) of Regulation (EU) No 575/2013
0600 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a), OF REGULATION (EU) No 575/2013 Article 254(2), point (a), of Regulation (EU) No 575/2013
0610 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b), OF REGULATION(EU) No 575/2013 Article 254(2), point (b), of Regulation (EU) No 575/2013
0620 POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) OF REGULATION (EU) No 575/2013 Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) of Regulation (EU) No 575/2013
0630 FOLLOWING THE HIERARCHY OF APPROACHES Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) of Regulation (EU) No 575/2013
0640 INTERNAL ASSESSMENT APPROACH Article 254(5) of Regulation (EU) No 575/2013 on the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes
0650-0690 BREAKDOWN BY RW BANDS Internal Assessment Approach exposures broken down by risk-weight bands
0695 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013
0700 OTHER (RW=1 250 %) Where none of the previous approaches is applied, a risk weight of 1 250 % shall be assigned to securitisation positions in accordance with Article 254(7) of Regulation (EU) No 575/2013.
0710-0860 RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.
0840 IAA: AVERAGE RISK WEIGHT (%) The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.
0860 RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.
0870 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 of Regulation (EU) No 575/2013, shall be included, except in the case of tranches subject to a risk weighting of 1 250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
0880 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 2 In accordance with Article 270a of Regulation (EU) No 575/2013, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013.
0890 BEFORE CAP Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, before applying the limits specified in Articles 267 and 268 of that Regulation or in case of qualifying traditional NPE securitisations before Article 269a of Regulation (EU) No 575/2013 is applied.
0900 (-) REDUCTION DUE TO RISK WEIGHT CAP In accordance with Article 267 of Regulation (EU) No 575/2013, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragrapsh (6) and (7) thereof, shall be applied.
0910 (-) REDUCTION DUE TO OVERALL CAP In accordance with Article 268 of Regulation (EU) No 575/2013, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Part Three, Title II, Chapter 2 or 3 of Regulation (EU) No 575/2013 in respect of the underlying exposures had they not been securitised. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragraphs (5) and (7) thereof, shall be applied.
0920 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, considering the total risk weight as specified in Article 247(6) of that Regulation.
0930 MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.
2

(1)

Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

  • 109.The template is divided into three major blocks of rows which gather data on the originated / sponsored / retained or purchased exposures by originators, investors and sponsors. For each of them, the information shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not.
  • 110.Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.
Rows Rows
0010 TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows.
0020 SECURITISATION POSITIONS Total amount of outstanding securitisation positions, as defined in Article 4(1), point (62), of Regulation (EU) No 575/2013, which are not re-securitisations as defined in Article 4(1), point (63), of Regulation (EU) No 575/2013.
0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243, 270 or 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.
0040 EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS Total amount of STS securitisation positions that meet the requirements set out in Article 243 of Regulation (EU) No 575/2013.
0050 GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS Total amount of grandfathered senior synthetic securitisation positions in SMEs which meet the conditions set out in Article 494c of Regulation (EU) No 575/2013.
0051 SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS Total amount of senior securitisation positions in STS on-balance sheet securitisations which meet the conditions set out in Article 270 of Regulation (EU) No 575/2013.
0060, 0120, 0170, 0240, 0290, 0360 and 0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Article 254, paragraphs 1, 4, 5 and 6 and Articles 259, 261, 263, 265, 266 and 269 of Regulation (EU) No 575/2013 Total amount of securitisation positions which do not qualify for differentiated capital treatment.
0070, 0190, 0310 and 0430 RE-SECURITISATION POSITIONS Total amount of outstanding re-securitisations positions as defined in Article 4(1), point (64), of Regulation (EU) No 575/2013.
0080 ORIGINATOR: TOTAL EXPOSURES This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in Article 4(1), point (13), of Regulation (EU) No 575/2013.
0090-0136, 0210-0250 and 0330-0370 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS In accordance with Article 248(1), point (a), of Regulation (EU) No 575/2013, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 of Regulation (EU) No 575/2013. On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 of Regulation (EU) No 575/2013, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) of that Regulation, in rows 0110 and 0130.
0100, 0220 and 0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.
0110, 0131, 0134, 0160, 0180, 0230, 0251, 0254, 0280, 0300, 0350, 0371, 0374 0400 and 0420 OF WHICH: SENIOR EXPOSURES Total amount of senior securitisation positions as defined in Article 242(6) of Regulation (EU) No 575/2013.
0121, 0241 and 0361 EXPOSURES IN NON-NPE SECURITISATIONS Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013.
0133, 0253 and 0373 EXPOSURES IN NPE SECURITISATIONS Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013.
0134, 0254 and 0374 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS Total amount of exposures which meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.
0135, 0255 and 0375 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.
0136, 0256 and 0376 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013 and which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013.
0140-0180, 0260-0300 and 0380-0420 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the of Regulation (EU) No 575/2013, shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) of Regulation (EU) No 575/2013) shall be provided. Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 of Regulation (EU) No 575/2013, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) of Regulation (EU) No 575/2013, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply.
0150, 0270 and 0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 or, for originators only, Article 270 or Article 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment.
0200 INVESTOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor. For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.
0320 SPONSOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in Article 4(1), point (14), of Regulation (EU) No 575/2013. If a sponsor is also securitising its own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.
0440-0670 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.
3.8.   DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.1.   Scope of the SEC DETAILS template

  • 111.These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported.
  • 112.These template are to be reported for:
  • a. Securitisations originated / sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018.
  • b. Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 0160.
  • c. Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders). Template C 14.01 shall only be reported for those securitisation positions treated under the securitisations framework.
  • 113.These templates shall be reported by consolidated groups and stand-alone institutions (21) located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided.
  • 114.Because of Article 5 of Regulation (EU) 2017/2402, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements, the reporting scope of the template shall be applied to investors to a limited extent. In particular, they shall report columns 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470.
  • 115.Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.8.2   Breakdown of the SEC DETAILS template

  • 116.The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations. SEC DETAILS 2 provides a breakdown of the securitisation positions subject to own funds requirements in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013 by approach applied.
  • 117.Securitisation positions in the trading book shall only be reported in columns 0010-0020, 0420, 0430, 0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.8.3   C 14.00 – Detailed information on securitisations (SEC DETAILS)
Columns Columns
0010 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.
0020 IDENTIFIER OF THE SECURITISATION Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in 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.
0021 INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? This column identifies whether the securitisation is an intra-group, private or public securitisation. Institutions shall report one of the following: — Private placement; — Intra-group; — Public placement.
0110 ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) Institutions shall report one of the following: — Originator; — Sponsor; — Investor. — Original Lender. Originator as defined in Article 4(1), point (13), of Regulation (EU) No 575/2013 and Sponsor as defined in Article 4(1), point (14), of that Regulation. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018 shall apply.
0030 IDENTIFIER OF THE ORIGINATOR The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column. In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported. In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is ‘multi-seller’.
0040 SECURITISATION TYPE Institutions shall report one of the following: — ABCP programme; — ABCP transaction; — Traditional securitisations other than NPE securitisations; — Non-qualifying NPE securitisations; — Qualifying NPE securitisations; — Synthetic transaction; The definitions of ‘Asset Backed Commercial Paper Programme’, ‘Asset Backed Commercial Paper Transaction’, ‘traditional securitisation’ and ‘synthetic securitisation’ are provided in Article 242, points (11) to (14), of Regulation (EU) No 575/2013; the definitions of ‘qualifying traditional NPE securitisations’ and ‘NPE securitisations’ are provided in Article 269a(1) of Regulation (EU) No 575/2013.
0051 ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Institutions as originators, sponsors and original lenders shall report one of the following: — ‘K – totally kept’, if the securitised exposures remain entirely recognised; — ‘P – partially removed’, if the securities exposures are partially derecognised; — ‘R – totally removed’, if the securities exposures are entirely derecognised; — ‘N – Not applicable’, if not applicable. This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 of Regulation (EU) No 575/2013 shall not affect the accounting treatment of the transaction under the relevant accounting framework. In the case of securitisations of liabilities, originators shall not report this column. Option ‘P’ (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.
0060 SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Articles 109, 244 and 245 of Regulation (EU) No 575/2013 Originators, only, shall report one of the following: — Not subject to own funds requirements; — Banking book; — Trading book; — Partially in banking and trading book. This column shall summarise the solvency treatment of the securitisation scheme by the originator. It shall indicate whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book). Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution. Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities, originators shall not report this column.
0061 SIGNIFICANT RISK TRANSFER Originators, only, shall report one of the following: — Not applied for SRT - reporting entity risk weights its securitised exposures; — Achieved SRT under Article 244(2), point (a), or Article 245(2), point (a), of Regulation (EU) No 575/2013; — Achieved SRT under Article 244(2), point (b), or Article 245(2), point (b), of Regulation (EU) No 575/2013; — Achieved SRT under Article 244(3), point (a), or Article 245(3), point (a), of Regulation (EU) No 575/2013; — Applying a 1 250 % RW or deducting retained positions in accordance with Article 244(1), point (b), or Article 245(1), point (b), of Regulation (EU) No 575/2013. This column shall summariss whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator.
0070 SECURITISATION OR RE-SECURITISATION? In accordance with the definition of ‘securitisation’ in Article 4(1), point (61), of Regulation (EU) No 575/2013 and the definition of ‘re-securitisation’ in Article 4(1), point (63), of Regulation (EU) No 575/2013, the type of securitisation using the following abbreviations shall be reported: — Securitisation; — Re-securitisation.
0075 STS SECURITISATION Article 18 of Regulation (EU) 2017/2402 Institutions shall report one of the following abbreviations: Y – Yes; N – No.
0446 SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Articles 243, 270 and 494c of Regulation (EU) No 575/2013 Institutions shall report one of the following abbreviations: Y – Yes; N – No. ‘Yes’ shall be reported in the following cases: — STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of Regulation (EU) No 575/2013 — Senior positions in STS on-balance sheet securitisations eligible for this treatment in accordance with Article 270 of Regulation (EU) No 575/2013 — Grandfathered SME synthetics in accordance with Article 494c of Regulation (EU) No 575/2013.
0076 TYPE OF EXCESS SPREAD Article 2, point (29) of Regulation (EU) 2017/2402 Institutions shall report one of the following: — No excess spread — Excess spread, fixed amount - ‘use it or lose it’ mechanism — Excess spread, fixed amount – trapped mechanism — Excess spread, variable amount - ‘use it or lose it’ mechanis — Excess spread, variable amount – trapped mechanism.
0077 AMORTISATION SYSTEM Institutions shall report one of the following: — Sequential amortisation — Pro-rata amortisation — Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for on-balance sheet securitisations — (Article 26c (5) of Regulation (EU) 2017/2402). — Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for non-ABCP transactions — (Guidelines on STS criteria for non-ABCP transactions and Article 21 (5) of Regulation (EU) 2017/2402 — Pro-rata amortisation changing to sequential amortisation. Not compliant — Other amortisation system
0078 COLLATERALISATION OPTIONS Article 26e of Regulation (EU) 2017/2402 Institutions shall report one of the following options for collateralization of the credit protection agreement: — Collateral in the form of 0 % risk-weighted debt securities — Article 26e(10), first subparagraph, point (a), of Regulation (EU) 2017/2402 — Collateral in the form of cash held with a third-party credit institution with credit quality step 3 or above — Article 26e(10), first subparagraph, point (b), of Regulation (EU) 2017/2402 — Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 2 — Article 26e(10), second subparagraph of Regulation (EU) 2017/2402 — Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 3 — Article 26e(10), third subparagraph of Regulation (EU) 2017/2402 — Requirement satisfied in the case of investments in credit linked notes issued by the originator — Article 26e(10), fourth subparagraph of Regulation (EU) 2017/2402 — No collateral, the investor qualifies for a 0 % RW — Article 26e(8), point (a), of Regulation (EU) 2017/2402 — No collateral, the investor benefits from a counter-guarantee of an entity that qualifies for a 0 % RW — Article 26e(8), point (b), of Regulation (EU) 2017/2402 — Other types of collateral: debt securities not compliant with Article 26e of Regulation (EU) 2017/2402 — Other types of collateral: cash not compliant with Article 26e of Regulation (EU) 2017/2402 — No collateral, not compliant with STS criteria for on-balance sheet securitisation — Cases different from those where there is no collateral, but the investor qualifies for a 0 % RW or benefits from a counter-guarantee of an entity that qualifies for a 0 % RW This column shall only be reported if column 0040 is reported as ‘Synthetic transaction’.
0080-0100 RETENTION Article 6 of Regulation (EU) 2017/2402; in case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 of Regulation (EU) No 575/2013 in the version of that Regulation applicable on 31 December 2018.
0080 TYPE OF RETENTION APPLIED For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported: A - Vertical slice (securitisation positions): ‘retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors’; V - Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures; B - Revolving exposures: ‘in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures’; C- On-balance sheet: ‘retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination’; D- First loss: ‘retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures’; E – Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402; U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance.
0090 % OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date). This column shall not be reported where code ‘E’ (exempted) is reported under column 0080 (Type of retention applied).
0100 COMPLIANCE WITH THE RETENTION REQUIREMENT? Institutions shall report the following abbreviations: Y - Yes; N - No. This column shall not be reported where code ‘E’ (exempted) is reported under column 0080 (Type of retention applied).
0120-0130 NON ABCP PROGRAMMES Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) of Regulation (EU) No 575/2013) shall be exempted from reporting in columns 0120, 0121 and 0130.
0120 ORIGINATION DATE (yyyy-mm-dd) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: ‘mm/yyyy’. For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0121 DATE OF LATEST ISSUANCE (yyyy-mm-dd) The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: ‘yyyy-mm-dd’. Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0130 TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date. For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0140-0225 SECURITISED EXPOSURES Columns 0140 to 0225 request information on several features of the securitised portfolio by the reporting entity.
0140 TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0150 INSTITUTION'S SHARE (%) Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 0140 in relative terms). This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0160 TYPE This column gathers information on the type of assets (‘Residential mortgages’ to ‘Other wholesale exposures’) or liabilities (‘Covered bonds’ and ‘Other liabilities’) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD: Retail: Residential mortgages; Credit card receivables; Consumer loans; Loans to SMEs (treated as retail); Other retail exposures. Wholesale: Commercial mortgages; Leasing; Loans to corporates; Loans to SMEs (treated as corporates); Trade receivables; Other wholesale exposures. Liabilites: Covered bonds; Other liabilities. Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. For securitisation schemes backed by closed pools the type cannot change between reporting dates. Liabilities should be understood in the sense of liabilities originally issued by the reporting institution (see paragraph 112, point (b), of section 3.2.1 of this annex).
0171 % OF IRB IN APPROACH APPLIED This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures. Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities.
0180 NUMBER OF EXPOSURES Article 259(4) of Regulation (EU) No 575/2013 This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors.
0181 EXPOSURES IN DEFAULT ‘W’ (%) Article 261(2) of Regulation (EU) No 575/2013 Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the ‘W’ factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) of Regulation (EU) No 575/2013.
0190 COUNTRY Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘other countries’ shall be reported.
0201 LGD (%) The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The LGD is to be calculated as indicated in Article 259(5) of Regulation (EU) No 575/2013. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).
0202 EL (%) The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 of Regulation (EU) No 575/2013. The EL shall be calculated as indicated in Part Three, Title II, Chapter 3, Section 3 of Regulation (EU) No 575/2013. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets).
0203 UL (%) The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Part Three, Title II, Chapter 3, Section 2 of Regulation (EU) No 575/2013. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets).
0204 EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset in accordance with Article 162(2), points (a) and (f), of Regulation (EU) No 575/2013, without applying the 5 year cap.
0210 (-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of Regulation (EU) No 575/2013) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) of Regulation (EU) No 575/2013. Provisions shall include accumulated amounts of credit losses in off-balance sheet items. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities. This information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0221 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 of Regulation (EU) No 575/2013. KIRB shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0222 % OF RETAIL EXPOSURES IN IRB POOLS IRB pools as defined in Article 242(7) of Regulation (EU) No 575/2013, provided that the institution is able to calculate KIRB in accordance with Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013 on a minimum of 95 % of the underlying exposure amount (Article 259(2) of Regulation (EU) No 575/2013)
0223 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) of Regulation (EU) No 575/2013. KSA shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation.
0225 MEMORANDUM ITEMS: CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD Article 110 of Regulation (EU) No 575/2013
0230-0304 SECURITISATION STRUCTURE This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/ first loss) and maturity at reporting date. For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported.
0230-0255 ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).
0230-0232 SENIOR
0230 AMOUNT The amount of senior securitisation positions as defined in Article 242(6) of Regulation (EU) No 575/2013.
0231 ATTACHMENT POINT (%) The attachment point (%) as referred to in Article 256(1) of Regulation (EU) No 575/2013
0232 and 0252 CQS Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Article 263, Table 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013). These columns shall be reported for all rated transactions irrespective of the approach applied.
0240-0242 MEZZANINE
0240 AMOUNT The amount to be reported includes: — mezzanine securitisation positions as defined in Article 242(18) of Regulation (EU) No 575/2013; — additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) of Regulation (EU) No 575/2013.
0241 NUMBER OF TRANCHES Number of mezzanine tranches.
0242 CQS OF THE MOST SUBORDINATED TRANCHE CQS, as determined in accordance with Article 263, Table 2 and Article 264, Table 3 of Regulation (EU) No 575/2013, of the most subordinated mezzanine tranche.
0250-0252 FIRST LOSS
0250 AMOUNT The amount of first loss tranche as defined in Article 242(17) of Regulation (EU) No 575/2013
0251 DETACHMENT POINT (%) The detachment point (%) as referred to in Article 256(2) of Regulation (EU) No 575/2013
0252 CQS
0254-0255 OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS Articles 256(3) and (4) of Regulation (EU) No 575/2013. Amounts of collateralisation and funded reserve accounts not meeting the definition of ‘tranche’ of Article 2(6) of Regulation (EU) 2017/2402, but considered as tranches for the purposes of calculating attachment and detachment points in accordance with Article 256(3) of Regulation (EU) No 575/2013.
0254 AMOUNT
0255 OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT Article 2, point (31) of Regulation (EU) No 2017/2402. Institutions shall report the non-refundable purchase price discount in accordance with Article 269a(7),of Regulation (EU) No 575/2013 at the reporting date, which shall be adjusted downwards taking into account the realised losses, as indicated in the second subparagraph. This column shall only be reported if column 0040 is reported as ‘Qualyfing NPE securitisation’ or ‘Non-Qualifying NPE securitisation’,
0260-0287 OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives before conversion factors, broken down by tranches (senior/mezzanine/first loss).
0260 - 0285 SENIOR / MEZZANINE / FIRST LOSS The same criteria of classification among tranches and identification of the attachment point, the number of tranches and the detachment point used for on-balance sheet items (see instructions on columns 0230 to 0252) shall be applied here.
0287 SYNTHETIC EXCESS SPREAD Articles 242, point (20), 248(1), point (e) and 256(6) of Regulation (EU) No 575/2013. This column shall be reported only if column 0110 is reported as ‘Originator’.
0290-0300 MATURITY
0290 FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (i) the date when a clean-up call option (as defined in Article 242(1) of Regulation (EU) No 575/2013) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.
0291 ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION Type of call relevant for the first expected termination date: — Clean-up call option meeting the requirements of Article 244(4), point (g), of Regulation (EU) No 575/2013; — Other clean-up call option; — Other type of call option.
0300 LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported.
0302-0304 MEMORANDUM ITEMS
0302 ATTACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties.
0303 DETACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties.
0304 RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.

3.8.4.   C 14.01 – Detailed information on securitisations (SEC DETAILS 2)

  • 118.The template SEC DETAILS 2 shall be reported separately for the following approaches:
  • 1) SEC-IRBA;
  • 2) SEC-SA;
  • 3) SEC-ERBA;
  • 4) 1 250 %;
  • 5) Internal assessment approach
  • 6) Specific treatment for senior tranches of qualifying NPE securitisations.
Columns Columns
0010 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.
0020 IDENTIFIER OF THE SECURITISATION 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.
0310-0400 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.
0310-0330 ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 0230, 0240 and 0250 of template C 14.00 shall be applied here.
0340-0362 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 0260 to 0287 of template C 14.00 shall be applied here.
0351 and 0361 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 of Regulation (EU) No 575/2013.
0362 SYNTHETIC EXCESS SPREAD Articles 242 (20), 248 (1), point (e) and 256(6) of Regulation (EU) No 575/2013. This column shall be reported only if column 0110 is reported as ‘Originator’.
0370-0400 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 0340-0361).
0370 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 of Regulation (EU) No 575/2013, the following full risk off-balance sheet items shall be regarded as DCS: — Guarantees having the character of credit substitutes. — Irrevocable standby letters of credit having the character of credit substitutes.
0380 IRS / CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the of Regulation (EU) No 575/2013.
0390 LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) of Regulation (EU) No 575/2013.
0400 OTHER Remaining off-balance sheet items.
0411 EXPOSURE VALUE This information is closely related to column 0180 in the CR SEC template.
0420 (-) 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.
0430 TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for the own funds requirement) of MKR SA CTP, respectively.
0431 (-) REDUCTION DUE TO RISK WEIGHT CAP Articles 267 and 269a of Regulation (EU) No 575/2013
0432 (-) REDUCTION DUE TO OVERALL CAP Articles 268 and 269a of Regulation (EU) No 575/2013
0440 TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0601 of MKR SA SEC, or column 0450 of MKR SA CTP, respectively.
0447-0448 MEMORANDUM ITEMS
0447 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA Articles 263 and 264 of Regulation (EU) No 575/2013. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA.
0448 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA Articles 261 and 262 of Regulation (EU) No 575/2013. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA.
0450-0470 SECURITISATION POSITIONS - TRADING BOOK
0450 CTP OR NON-CTP? Institutions shall report one of the following: ‘CTP’ - Correlation Trading Portfolio; ‘Non-CTP’.
0460-0470 NET POSITIONS - LONG/SHORT See columns 0050 / 0060 of MKR SA SEC or MKR SA CTP, respectively.
3.9.   COUNTERPARTY CREDIT RISK

3.9.1.   Scope of the counterparty credit risk templates

  • 119.The counterparty credit risk templates cover information on exposures subject to counterparty credit risk in application Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013.
  • 120.The templates exclude the own funds requirements for CVA risk (Article 92(3), point (d) and Part Three, Title VI of Regulation (EU) No 575/2013), which are reported in the CVA risk template.
  • 121.Counterparty credit risk exposures to central counterparties (Part Three, Title II, Chapter 4 and Chapter 6, Section 9 of of Regulation (EU) No 575/2013) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 of Regulation (EU) No 575/2013 shall not be reported in the counterparty credit risk templates, with the exception of template C 34.10, in particular the corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are directly reported in template C 02.00 row 0460.

3.9.2.   C 34.01 - Size of the derivative business

3.9.2.1.   General remarks

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