[Reference Linkbase]

NumberDifference TypeNameIdentifier / Value From -> Value To
ModifiedReference Linkbasep-si-2006-07-01-reference.xml
Modified   XLink Declaration   http://www.c-ebs.org/2006/corep/eu/si
Modified      Reference Link      Synthetic Securitizations: Credit Protection To The Securitised Exposures (p-cm-cr:SyntheticSecuritizationsCreditProtectionSecuritisedExposures) -- ref-corep:Annex="IX", ref-corep:Part="2", ref:Paragraph="4 to 7", ref-corep:Directive="Directive 2006/48/EC", ref-corep:Comment="Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Reference         ref-corep:Annex="IX", ref-corep:Part="2", ref:Paragraph="4 to 7", ref-corep:Directive="Directive 2006/48/EC", ref-corep:Comment="Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch." [reference]
00001Added            part Element            ref-corep:Comment
Modified      Reference Link      Look Through (p-si:ExposureValueRiskWeightBreakdownLookThrough) -- ref-corep:Comment="Annex IX part 4 points 58 and 59 of Directive 2006/48/EC. For early amortisations see annex IX part 4 points 68 and 24 of the Directive 2006/48/EC." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Reference         ref-corep:Comment="Annex IX part 4 points 58 and 59 of Directive 2006/48/EC. For early amortisations see annex IX part 4 points 68 and 24 of the Directive 2006/48/EC." [reference]
Modified            part Element            ref-corep:Comment
00002Modified               Value               "Annex IX part 4 points 58 and 59 of Directive 2006/48/EC." -> "Annex IX part 4 points 58 and 59 of Directive 2006/48/EC. For early amortisations see annex IX part 4 points 68 and 24 of the Directive 2006/48/EC."
Modified      Reference Link      Risk Weighted Exposure Amount (p-cm-cr:RiskWeightedExposureAmounts) -- ref-corep:Annex="IX", ref-corep:Part="4", ref-corep:Directive="Directive 2006/48/EC", ref-corep:Comment="Without taking into account the provisions in annex 9 part 4 paragraph 44 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. For synthetic securitisations with maturity mismatches teh amount to be reported in this column should ignore any maturity mismatch." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Reference         ref-corep:Annex="IX", ref-corep:Part="4", ref-corep:Directive="Directive 2006/48/EC", ref-corep:Comment="Without taking into account the provisions in annex 9 part 4 paragraph 44 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. For synthetic securitisations with maturity mismatches teh amount to be reported in this column should ignore any maturity mismatch." [reference]
Modified            part Element            ref-corep:Comment
00003Modified               Value               "Without taking into account the provisions in annex 9 part 4 paragraph 44 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts." -> "Without taking into account the provisions in annex 9 part 4 paragraph 44 of Directive 2000/12 regarding the maximum risk-weighted exposure amounts and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. For synthetic securitisations with maturity mismatches teh amount to be reported in this column should ignore any maturity mismatch."
Modified      Reference Link      Total Amount Of Securitisation Exposures Originated (p-cm-cr:TotalAmountSecuritisedExposuresOriginated) -- ref-corep:Comment="Originator credit institutions must report all the 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 (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, CDS, etc.) that have been originated in the securitisation should be reported. In the case of overlapping positions as specified under annex IX part 4 point 5 of Directive 2006/48/EC (e.g. overlapping liquidity facilities) only the position or portion of a position producing the higher risk weighted exposure amounts should be reported. For the row total on balance sheet items the amount reported under this column corresponds to the current amount of securitised exposures, as specified in the answer to Q127 issued by the EU Commission’s CRDTG. In case of early amortization clauses, institutions must specify the amount of "investors' interest" as defined in Annex IX part 4 point 70 of the Directive 2006/48/EC." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Reference         ref-corep:Comment="Originator credit institutions must report all the 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 (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, CDS, etc.) that have been originated in the securitisation should be reported. In the case of overlapping positions as specified under annex IX part 4 point 5 of Directive 2006/48/EC (e.g. overlapping liquidity facilities) only the position or portion of a position producing the higher risk weighted exposure amounts should be reported. For the row total on balance sheet items the amount reported under this column corresponds to the current amount of securitised exposures, as specified in the answer to Q127 issued by the EU Commission’s CRDTG. In case of early amortization clauses, institutions must specify the amount of "investors' interest" as defined in Annex IX part 4 point 70 of the Directive 2006/48/EC." [reference]
Modified            part Element            ref-corep:Comment
00004Modified               Value               "Originator credit institutions must report the current amount of exposures underlying a securitisation transaction. In case of early amortization clauses, institutions must specify the amount of "investors' interest" as defined in  Annex IX part 4 point 70 of the Directive 2006/48/EC." -> "Originator credit institutions must report all the 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 (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, CDS, etc.) that have been originated in the securitisation should be reported. In the case of overlapping positions as specified under annex IX part 4 point 5 of Directive 2006/48/EC (e.g. overlapping liquidity facilities) only the position or portion of a position producing the higher risk weighted exposure amounts should be reported. For the row total on balance sheet items the amount reported under this column corresponds to the current amount of securitised exposures, as specified in the answer to Q127 issued by the EU Commission’s CRDTG. In case of early amortization clauses, institutions must specify the amount of "investors' interest" as defined in  Annex IX part 4 point 70 of the Directive 2006/48/EC."
Modified      Reference Link      (-) Funded Credit Protection (Cva) (p-cm-cr:FundedCreditProtection) -- ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="33", ref-corep:Directive="Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Arc         http://www.xbrl.org/2003/arcrole/concept-reference
00005Modified            title Attribute            "reference: SySeFundedProtection to reference_SySeFundedProtection" -> "reference: SyntheticSecuritizationsFundedCreditProtection to reference_SyntheticSecuritizationsFundedCreditProtection"
Modified         Locator         reference_SyntheticSecuritizationsFundedCreditProtection
00006Modified            id Attribute            "reference_SySeFundedProtection" -> "reference_SyntheticSecuritizationsFundedCreditProtection"
00007Modified            label Attribute            "reference_SySeFundedProtection" -> "reference_SyntheticSecuritizationsFundedCreditProtection"
00008Modified            title Attribute            "reference_SySeFundedProtection" -> "reference_SyntheticSecuritizationsFundedCreditProtection"
Modified         Reference         ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="33", ref-corep:Directive="Directive 2006/48/EC" [reference]
Modified            part Element            ref-corep:Annex
00009Modified               Value               "IX" -> "VIII"
Modified            part Element            ref-corep:Part
00010Modified               Value               "2" -> "3"
Modified            part Element            ref:Paragraph
00011Modified               Value               "5,6 and 8" -> "33"
00012Removed      Reference Link      (-) Funded Credit Protection (Cvam) (p-cm-cr:FundedCreditProtection) -- ref-corep:Annex="VIII", ref-corep:Part="4", ref:Paragraph="7", ref-corep:Directive="Directive 2006/48/EC", ref-corep:Comment="Cvam considering provisions in Annex IX, part 2, paragraphs 5,6 and 8 of Directive Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified      Reference Link      Unfunded Credit Protection: Adjusted Values (G*) (p-cm-cr:SyntheticSecuritizationsCreditProtectionSecuritisedExposuresUnfundedCreditProtectionAdjustedValues) -- ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="84", ref-corep:Directive="Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Arc         http://www.xbrl.org/2003/arcrole/concept-reference
00013Modified            title Attribute            "reference: SySeUnfundedProtectionAdjustedValue to reference_SySeUnfundedProtectionAdjustedValue" -> "reference: SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue to reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue"
Modified         Locator         reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue
00014Modified            id Attribute            "reference_SySeUnfundedProtectionAdjustedValue" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue"
00015Modified            label Attribute            "reference_SySeUnfundedProtectionAdjustedValue" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue"
00016Modified            title Attribute            "reference_SySeUnfundedProtectionAdjustedValue" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue"
Modified         Reference         ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="84", ref-corep:Directive="Directive 2006/48/EC" [reference]
Modified            part Element            ref-corep:Annex
00017Modified               Value               "IX" -> "VIII"
Modified            part Element            ref-corep:Part
00018Modified               Value               "2" -> "3"
Modified            part Element            ref:Paragraph
00019Modified               Value               "5,6 and 8" -> "84"
00020Removed      Reference Link      Unfunded Credit Protection: Adjusted Values (Ga) (p-cm-cr:SyntheticSecuritizationsCreditProtectionSecuritisedExposuresUnfundedCreditProtectionAdjustedValues) -- ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="88", ref-corep:Directive="Directive 2006/48/EC", ref-corep:Comment="Adjusted Values considering provisions in Annex IX, part 2, paragraphs 5,6 and 8 of Directive Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified      Reference Link      Original Exposure Pre Conversion Factors (p-cm-cr:OriginalExposurePreConversionFactors) -- ref-corep:Comment="Securitization positions held by the reporting institution, calculated according to annex IX part 4 points 1,2, 4 and 5 of Directive 2006/48/EC, without applying credit convesion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. In case of early amortisation clauses, institutions must specify the amount of "investors' interest", as defined in Annex IX, part 4, point 70 of Directive 2006/48/EC. In synthetic securitisations the securitisation positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) will be the result of the column computation: (1) + (2) + (3) + (4)" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
Modified         Reference         ref-corep:Comment="Securitization positions held by the reporting institution, calculated according to annex IX part 4 points 1,2, 4 and 5 of Directive 2006/48/EC, without applying credit convesion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. In case of early amortisation clauses, institutions must specify the amount of "investors' interest", as defined in Annex IX, part 4, point 70 of Directive 2006/48/EC. In synthetic securitisations the securitisation positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) will be the result of the column computation: (1) + (2) + (3) + (4)" [reference]
Modified            part Element            ref-corep:Comment
00021Modified               Value               "Article 74 paragraph 1 of Directive 2006/48/EC. Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques except in the case of Funded Credit Protection in the form of master netting agreements. Annex VII part 3 points 1 to 13 of Directive 2006/48/EC except: 3 (effect of on balance sheet netting to be reported separatedly as Funded Credit Protection) , 9, 10, 11, (application of credit conversion factors to be provided separatedly). Exposures that qualify for the double default treatment will be classified according to the PD of the obligor." -> "Securitization positions held by the reporting institution, calculated according to annex IX part 4 points 1,2, 4 and 5 of Directive 2006/48/EC, without applying credit convesion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. In case of early amortisation clauses, institutions must specify the amount of "investors' interest", as defined in Annex IX, part 4, point 70 of Directive 2006/48/EC. In synthetic securitisations the securitisation positions held by the originator in the form of on-balance sheet items and/or investor’s interest (early amortisation) will be the result of the column computation: (1) + (2) + (3) + (4)"
00022Added      Reference Link      Overall Effect (Adjustment) due to Infringement of the Due Diligence Provisions (p-cm-cr:OverallEffectAdjustmentDueInfringementDueDiligenceProvisions) -- ref-corep:Directive="2006/48/EC", ref:Article="122a", ref:Paragraph="5" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
00023Added      Reference Link      Adjustment to the Risk Weighted Exposure Amount due to Maturity Mismatches (p-cm-cr:AdjustmentRiskWeightedExposureAmountDueMaturityMismatches) -- ref-corep:Comment="For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Annex IX Part 2 point 7 of the Directive 2006/48/EC, should be included, except in the case of tranches subject to a risk weighting of 1250% where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 36 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
ModifiedReference Linkbased-et-2006-07-01-reference.xml
Modified   XLink Declaration   http://www.xbrl.org/2003/role/link
Modified      Reference Link      First Loss (d-et:OnBalanceSheetItemsFirstLoss) -- ref-corep:Comment="Positions in those securitisation tranches (Article 4 (39) of Directive 2006/48/EC) that will take the first Euro of loss (e.g. refundable purchase discounts, subordinated loans, or credit protection provided to such tranches). Nevertheless, if this tranche does not provide a significant meaningful credit enhancement (as referred in annex IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisation, also this latter tranche will be considered as a first loss tranche. This assessment of the credit enhancement provided by the different tranches will be repeated until the credit enhancement provided by first loss tranche or tranches is deemed to be meaningful." [reference] : [link, concept-reference]
Modified         Reference         ref-corep:Comment="Positions in those securitisation tranches (Article 4 (39) of Directive 2006/48/EC) that will take the first Euro of loss (e.g. refundable purchase discounts, subordinated loans, or credit protection provided to such tranches). Nevertheless, if this tranche does not provide a significant meaningful credit enhancement (as referred in annex IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisation, also this latter tranche will be considered as a first loss tranche. This assessment of the credit enhancement provided by the different tranches will be repeated until the credit enhancement provided by first loss tranche or tranches is deemed to be meaningful." [reference]
Modified            part Element            ref-corep:Comment
00024Modified               Value               "Positions in those securitisation tranches (Article 4 (39) of Directive 2006/48/EC) that will take the first Euro of loss (e.g. refundable purchase discounts, subordinated loans, or credit protection provided to such tranches). Nevertheless, if this tranche does not provide a significant meaningful credit enhancement (as referred in annex IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisantion, also this latter tranche will be considered as a first loss tranche. This assessment of the credit enhancement provided by the different tranches will be repeated until the credit enhancement provided by first loss tranche or tranches is deemed to be meaningful." -> "Positions in those securitisation tranches (Article 4 (39) of Directive 2006/48/EC) that will take the first Euro of loss (e.g. refundable purchase discounts, subordinated loans, or credit protection provided to such tranches). Nevertheless, if this tranche does not provide a significant meaningful credit enhancement (as referred in annex IX part 4 point 12 of Directive 2006/48/EC) to the next tranch in the ranking of the securitisation, also this latter tranche will be considered as a first loss tranche. This assessment of the credit enhancement provided by the different tranches will be repeated until the credit enhancement provided by first loss tranche or tranches is deemed to be meaningful."
00025Added      Reference Link      Early Amortization (d-et:EarlyAmortization) -- ref-corep:Comment="Article 100, paragraph 2 of Directive 2006/48/EC. Only relevant for originators in revolving exposure securitisations containing early amortisation provisions. " [reference] : [link, concept-reference]
00026AddedReference Linkbaset-si-2006-07-01-reference.xml
00027Added   roleRef Element   http://www.c-ebs.org/2006/corep/eu/si
00028Added   XLink Declaration   http://www.c-ebs.org/2006/corep/eu/si
00029Added      Reference Link      of which: originated and sponsored by entities not subject to CRD Art 122a (d-cr:CreditRiskIRBSecuritizationInvestorOfWhichOriginatedSponsoredEntitiesNotSubjectCRD) -- ref-corep:Directive="2006/48/EC", ref:Article="122a", ref:Paragraph="5" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
00030Added      Reference Link      Investor: Total Exposures (d-cr:CreditRiskIRBSecuritizationInvestor) -- ref-corep:Comment="Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
00031Added      Reference Link      Originator: Total Exposures (d-cr:CreditRiskIRBSecuritizationOriginator) -- ref-corep:Directive="2006/48/EC", ref:Article="4", ref:Paragraph="41" [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
00032Added      Reference Link      Sponsor: Total Exposures (d-cr:CreditRiskIRBSecuritizationSponsor) -- ref-corep:Directive="2006/48/EC", ref:Article="4", ref:Paragraph="42", ref-corep:Comment="If a sponsor is also securitising its own assets, it should fill in in the originator's rows the information regarding its own securitised assets." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
00033Added      Reference Link      Off Balance Sheet Items and Derivatives (d-et:OffBalanceSheetItemsDerivatives) -- ref-corep:Comment=" Off-balance sheet securitisation positions subject to a conversion factor under the securitisation framework as mentioned in Annex IX part 4 point 2 letter c) and securitisation positions arising from a derivative instrument listed in Annex IV of Directive 2006/48/EC. For liquidity facilities, credit facilities, servicer cash advances and market disruption lines, institutions should provide the undrawn amount. For interest rate and currency swaps they should provide the exposure value according to annex IX part 4 point 3 of Directive 2006/48/EC as specified in the CR SA template." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]
00034Added      Reference Link      Mezzanine (d-et:OnBalanceSheetItemsMezzanine) -- ref-corep:Comment="All tranches that do not qualify as most senior or first losses will be included in this category." [reference] : [http://www.c-ebs.org/2006/corep/eu/si, concept-reference]