Reporting on own funds and own funds requirements


C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)



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C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

  1. General Remarks


130.This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach.

131.The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template.

132.Positions which receive a risk weight of 1.250% can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

      1. Instructions concerning specific positions


Columns

010 - 020

ALL POSITIONS (LONG AND SHORT)
Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.


030 - 040

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.



050 - 060

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.



070 - 520

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.

230-240 and 460-470

1250 %
Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

250-260 and 480-490


SUPERVISORY FORMULA METHOD

Article 337 (2) of CRR in connection with Article 262 of CRR.


These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.


270 and 500

LOOK THROUGH

SA: 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).


IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.

280-290 / 510-520

INTERNAL ASSESSMENT APPROACH

Article 109 (1) sentence 2 and Article 259 (3) and (4) of CRR.

These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI’s methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.


530 - 540

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS
Article 337 (3) of CRR in connection with Article 407 of CRR. Article 13 (2) of CRR

550 - 570

BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

580 - 600

AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS
Article 337 of CRR taking into account the discretion of Article 335 of CRR.

610

TOTAL OWN FUNDS REQUIREMENTS
According to Article 337 (4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (col. 580) and its weighted net short positions (col. 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337 (4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (col. 600), in order to calculate the own funds requirements.









Rows

010

TOTAL EXPOSURES

Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.




040,070 and

100


SECURITISATIONS

Article 4 (38) of CRR.



020,050,

080 and110



RE-SECURITISATIONS

Article 4 (39) and (40) of CRR.



030-050

ORIGINATOR

Article 4 (41) of CRR



060-080

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor



090-110

SPONSOR

Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets



120-210

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

Article 337 (4), last sentence of CRR.


The breakdown of the underlying assets follows the classification used in the SEC Details template (Column 'Type'):

  • 1-residential mortgages;

  • 2-commercial mortgages;

  • 3-credit card receivables;

  • 4-leasing;

  • 5-loans to corporates or SMEs (treated as corporates);

  • 6-consumer loans;

  • 7-trade receivables;

  • 8-other assets;

  • 9-covered bonds;

  • 10-other liabilities.

For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.






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