Commission Implementing Regulation (EU) No 680/2014Show full title

ANNEX II Table 29: rows 1 - 51

a Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 ( OJ L 347, 28.12.2017, p. 35 ).]
[F1 Columns
0010	TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions shall report the outstanding amount at the reporting date 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 case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures.
0020-0040	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 251 and 252 CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.
0020	(-) FUNDED CREDIT PROTECTION (C VA ) The detailed calculation procedure of the volatility-adjusted value of the collateral (C VA ) which shall be reported in this column is laid down in Article 223(2) CRR.
0030	(-) 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 to which the reporting entity allocates 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 laid down in Article 233(3) CRR.
0040	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.
0050	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position. Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040.
0060	(-) VALUE ADJUSTMENTS AND PROVISIONS Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered.
0070	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position.
0080-0110	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three, CRR and Article 249 CRR Institutions shall report in these columns 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). Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: 1. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method); 2. eligible unfunded credit protection.
0080	(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (G A ) Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR.
0090	(-) FUNDED CREDIT PROTECTION Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral.
0100-0110	SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported.
0100	(-) TOTAL OUTFLOWS Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR. Outflows shall correspond to the covered part of the ‘ Exposure net of value adjustments and provisions ’ that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade. That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades.
0110	TOTAL INFLOWS Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column.
0120	NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS This column shall include the exposures 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 ’ .
0130	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 223 to 228 CRR The reported amount shall also include credit linked notes (Article 218 CRR).
0140	FULLY ADJUSTED EXPOSURE VALUE (E*) The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR
0150	OF WHICH: SUBJECT TO A CCF OF 0 % Point (b) of Article 248(1) CRR In this respect, point (56) of Article 4(1) CRR defines a conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor.
0160	(-)NON REFUNDABLE PURCHASE PRICE DISCOUNT In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250  % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.
0170	(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1 250  % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR.
0180	EXPOSURE VALUE The exposure value of securitisation positions calculated in accordance with Article 248 CRR
0190	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250  % 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.
0200	EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds.
0210	SEC-IRBA Point (a) of Article 254(1) CRR
0220-0260	BREAKDOWN BY RW BANDS SEC-IRBA exposures broken down by risk-weight bands.
0270	OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES) Article 255(4) CRR For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables.
0280	SEC-SA Point (b) of Article 254(1) CRR
0290-0340	BREAKDOWN BY RW BANDS SEC-SA exposures broken down by risk-weight bands. For the RW = 1 250  % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1 250  % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool.
0350	SEC-ERBA Point (c) of Article 254(1) CRR
0360-0570	BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS) Article 263 CRR SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating. Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR.
0580-0630	BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA For each securitisation position, institutions shall consider one of the following options in columns 0580-0620.
0580	AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES Point (c) of Article 254(2) CRR All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2)(a) or (b) of CRR.
0590	SEC-ERBA OPTION Article 254(3) CRR
0600	POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR Point (a) of Article 254(2) CRR
0610	POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR Point (b) of Article 254(2) CRR
0620	POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR
0630	FOLLOWING THE HIERARCHY OF APPROACHES Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR
0640	INTERNAL ASSESSMENT APPROACH Article 254(5) CRR on the ‘ Internal Assessment Approach ’ (IAA) for positions in ABCP programmes
0650-0690	BREAKDOWN BY RW BANDS Internal Assessment Approach exposures broken down by risk-weight bands
0700	OTHER (RW = 1 250  %) Where none of the previous approaches is applied, a risk weight of 1 250  % shall be assigned to securitisation positions in accordance with Article 254(7) CRR.
0710-0860	RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three 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.
0840	IAA: AVERAGE RISK WEIGHT (%) The exposure-weighted average risk weights of the securitisation positions shall be reported in this column.
0860	RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.
0870	ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1 250  % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.
0880	OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 a In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1 250  %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR.
0890	BEFORE CAP Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR.
0900	(-) REDUCTION DUE TO RISK WEIGHT CAP In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.
0910	(-) REDUCTION DUE TO OVERALL CAP In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three in respect of the underlying exposures had they not been securitised.
0920	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR.
0930	MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS 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.

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).