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[F1 ANNEX II U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).

PART II: TEMPLATE RELATED INSTRUCTIONS U.K.

3. CREDIT RISK TEMPLATES U.K.

3.9. C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS) U.K.

3.9.2. Instructions concerning specific positions U.K.

ANNEX II Table 33: rows 1 - 54

[F1 Columns
005	ROW NUMBER The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.
010	INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.
020	IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the characters that are common to all tranches of the securitisation shall be reported in this column.
030	IDENTIFIER OF THE ORIGINATOR (Code/Name) The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column. In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.
040	SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC) Report the following abbreviations: ‘ T ’ for Traditional; ‘ S ’ for Synthetic. The definitions of ‘ traditional securitisation ’ and ‘ synthetic securitisation ’ is provided in Article 242(10) and (11) of CRR.
050	ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Originators, sponsors and original lenders shall report one of the following abbreviations: ‘ K ’ if entirely recognised ‘ P ’ if partially derecognised ‘ R ’ if entirely derecognised ‘ N ’ if not applicable. This column summarises the accounting treatment of the transaction. In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet. In case of the securitisations of liabilities originators shall not report this column. Option ‘ P ’ (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity’ continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21.
060	SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Originators, only, shall report the following abbreviations: ‘ N ’ not subject to own funds requirements; ‘ B ’ banking book; ‘ T ’ trading book; ‘ A ’ partly in both books. Articles 109, 243 and 244 of CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book). If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution. Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities originators shall not report this column.
070	SECURITISATION OR RE-SECURITISATION? According to definitions of ‘ securitisation ’ and ‘ re-securitisation ’ are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations: ‘ S ’ for securitisation; ‘ R ’ for re-securitisation.
075	STS SECURITISATION Article 18 of Regulation (EU) 2017/2402 Report one of the following abbreviations Y – Yes N – No
080-100	RETENTION Articles 404 to 410 of CRR.
080	TYPE OF RETENTION APPLIED For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article 405 of CRR: A — Vertical slice (securitisation positions): ‘ retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors ’ . V — Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures. B — Revolving exposures: ‘ in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures ’. C — On-balance sheet: ‘ retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination ’. D — First loss: ‘ retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures ’. E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR. N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR. U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.
090	% OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date). Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not required. This column shall not be reported in case codes ‘ E ’ (exempted) or ‘ N ’ (not applicable) are reported under column 080 (Type of retention applied).
100	COMPLIANCE WITH THE RETENTION REQUIREMENT? Article 405(1) of CRR. Report the following abbreviations: Y – Yes; N – No. This column shall not be reported in case codes ‘ E ’ (exempted) or ‘ N ’ (not applicable) are reported under column 080 (Type of retention applied).
110	ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Report the following abbreviations: ‘ O ’ for Originator; ‘ S ’ for Sponsor; ‘ L ’ for Original Lender; ‘ I ’ for Investor. See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.
120-130	NON ABCP PROGRAMS Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.
120	ORIGINATION DATE (mm/yyyy) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: ‘ mm/yyyy ’ . For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
130	TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date. In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
140-220	SECURITISED EXPOSURES Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.
140	TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
150	INSTITUTION’S SHARE (%) It shall be reported the institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.
160	TYPE This column gathers information on the type of assets ( ‘ 1 ’ to ‘ 8 ’ ) or liabilities ( ‘ 9 ’ and ‘ 10 ’ ) of the securitised portfolio. The institution must report one of the following number codes: 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. In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘ 10 ’ (Other liabilities) includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates.
170	APPROACH APPLIED (SA/IRB/MIX) This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures. Report the following abbreviations: ‘ S ’ for Standardised Approach; ‘ I ’ for Internal Ratings Based Approach; ‘ M ’ for a combination of both approaches (SA/IRB). If under SA, ‘ P ’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template. If under IRB, ‘ P ’ is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template. If under combination of SA and IRB, ‘ P ’ is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.
180	NUMBER OF EXPOSURES Article 261(1) of CRR. This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting ‘ I ’ in column 170). The institution shall report the effective number of exposures. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.
190	COUNTRY Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then ‘ other countries ’ shall be reported.
200	ELGD (%) The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting ‘ I ’ in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
210	(-) VALUE ADJUSTMENTS AND PROVISIONS 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. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
220	OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (K irb ), as a percentage (with two decimals) on the total of securitised exposures at origination date. K irb is defined in Article 242(4) of CRR. This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.
230-300	SECURITISATION STRUCTURE This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity. In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.
230-250	ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).
230	SENIOR On reporting reference dates that are after 1 January 2019 , for securitisation positions the exposure values of which are calculated in accordance with CRR: A securitisation position as defined in Article 242(6) of CRR. For all other securitisation positions: All tranches that do not qualify as mezzanine or first loss in accordance with CRR in the version applicable on 31 December 2018 shall be included in this category.
240	MEZZANINE On reporting reference dates that are after 1 January 2019 , for securitisation positions the exposure values of which are calculated according to CRR: all positions as defined in Article 242(18) of the CRR; all positions which are not subject to Articles 242(6) or (17) of the CRR. For all other securitisation positions: see Articles 243(3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR in the version applicable on 31 December 2018 .
250	FIRST LOSS On reporting reference dates that are after 1 January 2019 , for securitisation positions the exposure values of which are calculated according to CRR: a securitisation position as defined in Article 242(17) of CRR. For all other securitisation positions: first loss tranche is defined in Article 242(15) of CRR in the version applicable on 31 December 2018 .
260-280	OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here.
290	FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: (i) the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities; (ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation. The day, month and year of the first foreseeable termination date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.
300	LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported if this data is available, otherwise the first day of the month shall be reported.
310-400	SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date.
310-330	ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 230 to 250 shall be applied here.
340-360	OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 260 to 280 shall be applied here.
370-400	MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).
370	DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS: Guarantees having the character of credit substitutes. Irrevocable standby letters of credit having the character of credit substitutes.
380	IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.
390	ELIGIBLE LIQUIDITY FACILITIES Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).
400	OTHER (INCLUDING NON-ELIGIBLE LF) This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).
410	EARLY AMORTISATION: CONVERSION FACTOR APPLIED Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors’ interest (in order to calculate risk-weighted exposure amounts). This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations). According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread. In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.
420	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template. A negative figure shall be reported in this column.
430	TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported.
440	TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported.
445	APPROACH In this column, the approach to determining the total risk exposure amount as reported in column 440 shall be reported. The approach shall be one of the following ones: For securitisation positions the risk weighted exposure amounts of which are calculated according to CRR in the version applicable on 31 December 2018 Other (original securitisation framework) On reporting reference dates that are after 1 January 2019 , for securitisation positions the risk weighted exposure amounts of which are calculated according to CRR: SEC-IRBA SEC-SA SEC-ERBA IAA 1 250  % for positions not subject to any method (Article 254(7) CRR) Multiple approaches In line with the determination of risk weights according to Article 337 CRR, for instruments in the trading book that are securitisation positions, the approach shall be determined as the approach the institution would apply to the position in its non-trading book. ‘ Multiple approaches ’ shall be used if the institution is involved in or exposed to a securitisation transaction in multiple ways and applies different approaches to the calculation of own funds requirements in its different roles or for its different exposures.
446	SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT On reporting reference dates that are after 1 January 2019 , Articles 243 and 270 of CRR Report one of the following abbreviations Y – Yes N – No ‘ Yes ’ shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of the CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 of the CRR.
450-510	SECURITISATION POSITIONS — TRADING BOOK
450	CTP OR NON-CTP? Report the following abbreviations: C — Correlation Trading Portfolio (CTP); N — Non-CTP
460-470	NET POSITIONS — LONG/SHORT See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.
480	TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.]