Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).
| [F1ROW NUMBER | INTERNAL CODE | IDENTIFIER OF THE SECURITISATION | INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? | ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) | IDENTIFIER OF THE ORIGINATOR | SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION) | ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? | SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? | SIGNIFICANT RISK TRANSFER | SECURITISATION OR RE-SECURITISATION? | STS OR NON-STS SECURITISATION? | SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT? | RETENTION | NON ABCP PROGRAMMES | SECURITISED EXPOSURES | SECURITISATION STRUCTURE | ||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TYPE OF RETENTION APPLIED | % OF RETENTION AT REPORTING DATE | COMPLIANCE WITH THE RETENTION REQUIREMENT? | ORIGINATION DATE (mm/yyyy) | DATE OF LATEST ISSUANCE (mm/yyyy) | TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE | TOTAL AMOUNT | INSTITUTION’S SHARE (%) | TYPE | % of IRB IN APPROACH APPLIED | NUMBER OF EXPOSURES | EXPOSURES IN DEFAULT W (%) | COUNTRY | LGD (%) | EL% | UL% | EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS | (-) VALUE ADJUSTMENTS AND PROVISIONS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb | % OF RETAIL EXPOSURES IN IRB POOLS | OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa | MEMORANDUM ITEMS | ON-BALANCE SHEET ITEMS | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | MATURITY | MEMORANDUM ITEMS | |||||||||||||||||||||||||||
| CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD | SENIOR | MEZZANINE | FIRST LOSS | SENIOR | MEZZANINE | FIRST LOSS | FIRST FORESEEABLE TERMINATION DATE | ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION | LEGAL FINAL MATURITY DATE | ATTACHMENT POINT OF RISK SOLD (%) | DETACHMENT POINT OF RISK SOLD (%) | RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) | ||||||||||||||||||||||||||||||||||||||||
| AMOUNT | ATTACHMENT POINT (%) | CQS | AMOUNT | NUMBER OF TRANCHES | CQS OF THE MOST SUBORDINATED ONE | AMOUNT | DETACHMENT POINT (%) | CQS | ||||||||||||||||||||||||||||||||||||||||||||
| 005 | 010 | 020 | 021 | 110 | 030 | 040 | 051 | 060 | 061 | 070 | 075 | 446 | 080 | 090 | 100 | 120 | 121 | 130 | 140 | 150 | 160 | 171 | 180 | 181 | 190 | 201 | 202 | 203 | 204 | 210 | 221 | 222 | 223 | 225 | 230 | 231 | 232 | 240 | 241 | 242 | 250 | 251 | 252 | 260 | 270 | 280 | 290 | 291 | 300 | 302 | 303 | 304 |
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