Reporting on own funds and own funds requirements



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102.The CR SEC SA 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 is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations.



103.Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information.


Rows


010

TOTAL EXPOSURES
Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.


020

OF WHICH: RE-SECURITISATIONS
Total amount of outstanding re-securitisations according to definitions in Article 4(63) and (64) of CRR.


030

ORIGINATOR: TOTAL EXPOSURES
This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(13) of CRR.


040-060

ON-BALANCE SHEET ITEMS
Article 246 (1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments.
On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).


070-090

OFF-BALANCE SHEET ITEMS AND DERIVATIVES
These rows 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 figure unless otherwise specified.
The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR.
For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount.
For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template.
Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.


100

EARLY AMORTISATION
This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.



110

INVESTOR: TOTAL EXPOSURES
This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor.
The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.



120-140

ON-BALANCE SHEET ITEMS
The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.


150-170

OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.


180

SPONSOR: TOTAL EXPOSURES
This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4 (14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.


190-210

ON-BALANCE SHEET ITEMS
The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.


220-240

OFF-BALANCE SHEET ITEMS AND DERIVATIVES
The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.


250-290

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION
These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported.
These rows are only to be reported for columns 190 to 270 and columns 330 to 340.







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