Annex XXVIII

Legal references and instructions

Row reference

Explanation

(a)

Description of securitisation and re-securitisation activities; includingrisk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy, in accordance with point (a) of Article 449 CRR

(b)

The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and: i) risk retained in own-originated transactions; ii) risk incurred in relation to transactions originated by third parties, in accordance with point (b) of Article 449 CRR

(c)

Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions, in accordance with point (c) of Article 449 CRR

(d)

A list of SSPEs falling into any of the following categories, with a description of types of institution’s exposures to those SSPEs, including derivatives contracts: in accordance with point (d) of Article 449 CRR

(e)

A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with point (e) of Article 449 of Chapter 5 of Title II of Part Three CRR

(f)

A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions, in accordance with point (f) of Article 449 CRR

(g)

A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions, in accordance with point (g) of Article 449 CRR

(h)

The names of the ECAIs used for securitisations and the types of exposure for which each agency is used, in accordance with point (h) of Article 449 CRR

(i)

Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR, including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, in accordance with point (i) of Article 449 CRR

Legal references and instructions

Column reference

Explanation

a - g

Institution acts as originator When the ‘institution acts as originator’, as defined in point (13) of Article 4 (1) CRR, the securitisation exposures are the retained positions, even where not eligible for the securitisation framework due to the absence of significant risk transfer. Securitisation exposures in transactions that have achieved significant risk transfer (SRT) shall be presented separately. Originator institutions shall disclose the carrying amount at the disclosure date of all current securitisation exposures they hold in the securitisation transactions that they originated. 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.) in those securitisation shall be disclosed.

h - k

Institution acts as sponsor When ‘the institution acts as sponsor’ (as defined in point (14) of Article 4(1) CRR) the securitisation exposures shall include exposures to commercial paper conduits to which the institution provides programme-wide enhancements, liquidity and other facilities. Where the institution acts both as originator and sponsor, it shall avoid double-counting. In this regard, the institution can merge the two columns of ‘institution acts as originator’ and ‘institution acts as sponsor’ and use ‘institution acts as originator/sponsor’ columns.

l - o

Institution acts as investor Securitisation exposures when ‘the institution acts as an investor’ are the investment positions purchased in third-party deals. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither the originator, nor the sponsor. In case the pool of securitised exposures is a mix of the types of securitisation position, the institution shall indicate the most important type.

a – d; h, i, l, m

Traditional transactions In accordance with point (13) of Article 242 CRR, in connection with point (9) of Article 2 of Regulation (EU) 2017/2402 (²), ‘traditional securitisation’ means a securitisation involving the transfer of the economic interest in the exposures being securitised. This shall be accomplished by the transfer of ownership of the securitised exposures from the originator institution to an SSPE or through sub-participation by an SSPE. The securities issued do not represent payment obligations of the originator institution. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the disclosing of this template.

e, f, j, n

Synthetic transactions In accordance with point (14) of Article 242 CRR, in connection with point (10) of Article 2 of Regulation (EU) 2017/2402, ‘synthetic securitisation’ means a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator institution. If the institution has purchased protection it shall disclose the net exposure amounts to which it is exposed and which are not subject to the purchased protection under columns originator/sponsor (i.e. the amount that is not secured) of this template. If the institution has sold protection, the exposure amount of the credit protection shall be disclosed in the ‘investor’ column of this template.

a, b, h, l,

STS exposure Total amount of STS securitisation positions in accordance with the criteria set out in Articles 18 to 26 of the Regulation (EU) 2017/2402

b, d, f

SRT exposure Total amount of securitisation positions in respect of which the originator institution has achieved significant risk transfer (SRT) in accordance with Article 244 (traditional securitisation) and Article 245 (synthetic securitisation) CRR

Legal references and instructions

Row number

Explanation

06, 12

Re-securitisation Total amount of outstanding re-securitisation positions as defined in points (63) and (64) of Article 4(1) CRR All securitisation exposures related to re-securitisation shall be completed in rows ‘re-securitisation’, and not in the preceding rows (by type of underlying asset) which contain only securitisation exposures other than re-securitisation.

Legal references and instructions

Column reference

Explanation

a to d

Exposure values (by risk weight bands /deductions) Values to be disclosed in columns (a) to (d) of this template in relation to regulatory risk weights shall be determined in accordance with Chapter 5 of Title II of Part Three CRR.

f to h

Exposure values (by regulatory approach) Columns (f) to (h) of this template corresponding to the regulatory approach used in accordance with the hierarchy of approaches of Article 254 CRR

j, k, l

RWEA (by regulatory approach) Risk weighted exposure amount (RWEA) by regulatory approach in accordance with Chapter 5 of Title II of Part Three CRR Part Three before application of cap

n to EU-p

Capital charge after cap These columns refer to capital charge after application of the cap in accordance with Articles 267 and 268 CRR.

e, i, m, EU-q

1 250 % RW/deductions Columns refer to items:

Legal references and instructions

Row number

Explanation

1

Total Exposures Total exposures shall refer to the total amount of securitisation and re-securitisation positions held by the institution acting as originator or sponsor. This row shall summarise information on traditional and synthetic securitisation disclosed by originators and sponsors in subsequent rows.

2

Traditional transactions See explanation for template EU SEC1.

3, 10

Securitisation Total amount of outstanding securitisation positions as defined in point (62) of Article 4(1) CRR that are not re-securitisation positions as defined in point (64) of Article 4(1) CRR

5, 7

STS See explanation for template EU SEC1.

8, 13

Re-securitisation See explanation for template EU SEC1.

9

Synthetic transactions See explanation for template EU SEC1.

Legal references and instructions

Column reference

Explanation

a

Total outstanding nominal amount Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure

b

Total outstanding nominal amount - Of which exposures in default Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor) which have been classified as ‘defaulted exposures’ in accordance with Article 178 CRR, broken down by type of securitisation exposure

c

Specific credit risk adjustments made during the period Amount of the specific credit risk adjustments made during the period, in accordance with Article 110 CRR, on the exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure