Reporting on own funds and own funds requirements


C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)



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C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

  1. General remarks


100.The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors.

101.The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242 (10) and (11) of CRR, respectively.


      1. Instructions concerning specific positions



Columns


010

TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
Originator institutions must report the outstanding amount at the reporting data 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 the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions hold by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR.
For all other securitisations for which there is a recognition of significant risk transfer it shall be further clarified that under column 010 of the CR SEC IRB and CR SEC SA templates the originator shall report all the securitisation exposures originated irrespective of who is holding them.


020-040

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES
Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.


020

(-) FUNDED CREDIT PROTECTION (CVA)
The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which is expected to be reported in this column is established in Article 223(2) of CRR.


030

(-) 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 relevant for 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 established in Article 233(3) of CRR.


040

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.



050

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Securitisation positions held by the reporting institution, calculated according to Article 246 (1) and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement.
Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered.
In case of early amortization clauses, institutions must specify the amount of "originator’s' interest" as defined in Article 256(2) of CRR.
In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.


060

(-) VALUE ADJUSTMENTS AND PROVISIONS
Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized 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 exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.


070

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors.
This piece of information is related to column 040 of the CR SA Total template.


080-110

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE
Article 4 (57) and Part Three, Title II, Chapter 4 of CRR.
This block of columns gathers 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).
See CR SA instructions (Reporting of CRM techniques with substitution effect).


080

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA)
Unfunded credit protection is defined in Article 4 (59) and regulated in Article 235 of CRR.
See CR SA instructions (Reporting of CRM techniques with substitution effect).


090

(-) FUNDED CREDIT PROTECTION
Funded credit protection is defined in Article 4 (58) and regulated in Articles 195, 197 and 200 of CRR.
Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral.
See CR SA instructions (Reporting of CRM techniques with substitution effect).


100-110

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.




100

(-) TOTAL OUTFLOWS
Articles 222 (3) and 235 (1) and (2).
Outflows correspond to the covered part of the ‘Exposure net of value adjustments and provisions’, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade.
This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.
This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.


110

TOTAL INFLOWS
Securitisation positions which are debt securities and are eligible financial collateral according to Article 197 (1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.
This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.


120

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
Exposure 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’.
This piece of information is related to column 110 of the CR SA Total template.


130

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)
This item also includes credit linked notes (Article 218 of CRR).
This piece of information is related to columns 120 and 130 of the CR SA Total template.


140

FULLY ADJUSTED EXPOSURE VALUE (E*)
Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point c) of CRR.
This piece of information is related to column 150 of the CR SA Total template.


150-180

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS
Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100% unless otherwise specified in the CRR.
See columns 160 to 190 of the CR SA Total template.
For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0%, [0%, 20%], [20%, [50%] and [50%, 100%].


190

EXPOSURE VALUE
Securitisation positions according to Article 246 of CRR.
This piece of information is related to column 200 of the CR SA Total template.


200

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1250% risk weight is assigned, 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.


210

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
Exposure value minus the exposure value deducted from own funds.


220-320

BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS

220-260

RATED
Article 242(8) of CRR defines rated positions.
Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.


270

1250% (UNRATED)
Article 242(7) of CRR defines unrated positions.



280

LOOK-THROUGH
Articles 253, 254 and 256(5) of CRR.
The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).


290

LOOK-THROUGH - OF WHICH: SECOND LOSS IN ABCP
Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR.
Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.


300


LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)
Exposure value weighted average risk weight shall be provided.


310

INTERNAL ASSESSMENT APPROACH (IAA)
Articles 109 (1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.


320

IAA: AVERAGE RISK WEIGHT (%)
Exposure value weighted average risk weight shall be provided.


330

RISK-WEIGHTED EXPOSURE AMOUNT
Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, 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.


340

OF WHICH: SYNTHETIC SECURITISATIONS
For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.


350

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
Articles 14 (2), 406 (2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250% of the risk weight (capped at 1250%) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.


360

ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES
For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250% where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.


370-380

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP
Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col. 370) /after (col. 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.


390

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION 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.




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