104.The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach.
105.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.
106.The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.
Instructions concerning specific positions
TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date.
See column 010 of CR SEC SA.
SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 249 and 250 of CRR.
Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.
(-) 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.
(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) Following the general rule for “inflows” and “outflows” the amounts reported under column 030 of the CR SEC IRB template 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.
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.
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 gross of value 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 securitized positions are not considered.
In case of early amortisation 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.
CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE See 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).
(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection is defined in Article 4(59) of CRR.
Article 236 of CRR describes the computation procedure of GA in the case of full protection / partial protection — equal seniority.
This piece of information is related to columns 040 and 050 of the CR IRB template.
(-) FUNDED CREDIT PROTECTION Funded credit protection is defined in Article 4(58) of CRR.
Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column.
This piece of information is related to column 060 of the CR IRB template.
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.
(-) TOTAL OUTFLOWS Article 236 of CRR.
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 070 of the CR IRB template.
TOTAL INFLOWS This piece of information is related to column 080 of the CR IRB template.
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 090 of the CR IRB template.
(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).
FULLY ADJUSTED EXPOSURE VALUE (E*)
Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point c) of CRR.
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 figure. This conversion figure shall be 100% unless otherwise specified.
In this respect, Article 4(56) of CRR defines conversion factor.
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%].
EXPOSURE VALUE Securitisation positions according to Article 246 of CRR.
This piece of information is related to column 110 of the CR IRB template.
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1250% 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.
EXPOSURE VALUE SUBJECT TO RISK WEIGHTS
RATINGS BASED METHOD (CREDIT QUALITY STEPS) Article 261 of CRR.
IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating.
Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.
SUPERVISORY FORMULA METHOD For the Supervisory Formula Method (SFM), Article 262 of CRR.
The risk weight for a securitisation position shall be the greater of 7% or the risk weight to be applied in accordance with the formulas provided.
SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the "effective risk weight" of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100).
When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the ‘T’ adjusted according to what is established in Article 264(3) of CRR.
Weighted average risk weights shall be reported in this column.
LOOK-THROUGH The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool).
Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated.
The undrawn amount of the liquidity facilities shall be reported under “Off balance sheet items and derivatives”.
As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR.
For early amortisations see Articles 256(5) and 265 of CRR.
LOOK-THROUGH: AVERAGE RISK WEIGHT Exposure value weighted average risk weight shall be provided.
INTERNAL ASSESSMENT APPROACH Article 259(3) and (4) of CRR envisages the ‘Internal Assessment Approach’ (IAA) for positions in ABCP programmes.
IAA: AVERAGE RISK WEIGHT Weighted average risk weights shall be reported in this column.
(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR.
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.
RISK-WEIGHTED EXPOSURE AMOUNT 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.
RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.
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.
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 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
Negative values shall be reported in this column.
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 440) / after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.
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.