| Rows |
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| 010 | TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.
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| 020-040 | ORIGINATOR Article 4(13) of CRR
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| 050-070 | INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor
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| 080-100 | SPONSOR Article 4(14) 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
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| 030, 060 and 090 | SECURITISATIONS The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338(2) and (3) of CRR.
Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions'.
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| 110 | N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here.
The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives.
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| 040, 070, 100 and 120 | OTHER CTP POSITIONS The positions in:
Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions';
CTP positions hedged by credit derivatives according to Article 346 CRR;
Other positions that satisfy Article 338(3) of CRR;
are included.]
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