| 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 Point (13) of Article 4(1) 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, sponsor nor original lender
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| 080-100 | SPONSOR Point (14) of Article 4(1) CRR
A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.
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| 030, 060 and 090 | SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 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 in accordance with 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 following positions are included:
Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;
CTP positions hedged by credit derivatives in accordance with Article 346 CRR;
Other positions that satisfy Article 338(3) CRR.]
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