[Reference Linkbase]

NumberDifference TypeNameIdentifier / Value From -> Value To
ModifiedReference Linkbasep-ss-2006-07-01-reference.xml
Modified   XLink Declaration   http://www.c-ebs.org/2006/corep/eu/ss
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/ss, 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
00001Modified               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 19 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      Synthetic Securitizations: Credit Protection To The Securitised Exposures (p-cm-cr:SyntheticSecuritizationsCreditProtectionSecuritisedExposures) -- ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="IX", ref:Paragraph="4-7", ref-corep:Part="2", 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/ss, concept-reference]
Modified         Reference         ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="IX", ref:Paragraph="4-7", ref-corep:Part="2", ref-corep:Comment="Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch." [reference]
00002Added            part Element            ref-corep:Comment
Modified      Reference Link      (-) Funded Credit Protection (Cva) (p-cm-cr:FundedCreditProtection) -- ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="33" [reference] : [http://www.c-ebs.org/2006/corep/eu/ss, concept-reference]
Modified         Reference         ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="33" [reference]
Modified            part Element            ref-corep:Part
00003Modified               Value               "4" -> "3"
Modified            part Element            ref:Paragraph
00004Modified               Value               "7" -> "33"
00005Removed      Reference Link      (-) Funded Credit Protection (Cvam) (p-cm-cr:FundedCreditProtection) -- ref-corep:Annex="IX", ref-corep:Part="2", ref:Paragraph="5-7", ref-corep:Comment="Cvam considering provisions in Annex 9, part 2, paragraphs 5 to 7 of Directive Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/ss, concept-reference]
Modified      Reference Link      Unfunded Credit Protection: Adjusted Values (G*) (p-cm-cr:SyntheticSecuritizationsCreditProtectionSecuritisedExposuresUnfundedCreditProtectionAdjustedValues) -- ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="84" [reference] : [http://www.c-ebs.org/2006/corep/eu/ss, concept-reference]
Modified         Arc         http://www.xbrl.org/2003/arcrole/concept-reference
00006Modified            title Attribute            "reference: UnfundedProtectionAdjustedValue to reference_UnfundedProtectionAdjustedValue" -> "reference: SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues to reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues"
Modified         Locator         reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues
00007Modified            id Attribute            "reference_UnfundedProtectionAdjustedValue_1134127724600_1" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues"
00008Modified            label Attribute            "reference_UnfundedProtectionAdjustedValue_1134127724600_1" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues"
00009Modified            title Attribute            "reference_UnfundedProtectionAdjustedValue" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues"
Modified         Reference         ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="84" [reference]
Modified            part Element            ref-corep:Annex
00010Modified               Value               "IX" -> "VIII"
Modified            part Element            ref-corep:Part
00011Modified               Value               "2" -> "3"
Modified            part Element            ref:Paragraph
00012Modified               Value               "5-7" -> "84"
00013Removed      Reference Link      Unfunded Credit Protection: Adjusted Values (Ga) (p-cm-cr:SyntheticSecuritizationsCreditProtectionSecuritisedExposuresUnfundedCreditProtectionAdjustedValues) -- ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="VIII", ref-corep:Part="3", ref:Paragraph="88", ref-corep:Comment="Adjusted Values considering provisions in Annex IX, part 2, paragraphs 5-7 of Directive Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/ss, concept-reference]
Modified      Reference Link      Original Exposure Pre Conversion Factors (p-cm-cr:OriginalExposurePreConversionFactors) -- ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="IX", ref-corep:Part="4", ref:Paragraph="1,2,4,5", 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/ss, concept-reference]
Modified         Reference         ref-corep:Directive="Directive 2006/48/EC", ref-corep:Annex="IX", ref-corep:Part="4", ref:Paragraph="1,2,4,5", 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
00014Modified               Value               "Securitization positions according to annex IX, part 4 paragraphs 1,2, 4 and 5 without applying conversion 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. For originators in synthetic securitisations will be the result of the column computation: (1) + (2) + (3) - (4)." -> "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)"
Modified      Reference Link      Look-Through (p-ss: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/ss, 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
00015Modified               Value               "Annex IX part 4 points 9, 10 11 12 of Directive 2006/48/EC. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtainned from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio)." -> "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:Comment="Annex IX part 4 of Directive 2006/48/EC without taking into account the provisions in annex IX part 4 point 44 of Directive 2006/48/EC 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/ss, concept-reference]
Modified         Reference         ref-corep:Comment="Annex IX part 4 of Directive 2006/48/EC without taking into account the provisions in annex IX part 4 point 44 of Directive 2006/48/EC 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
00016Modified               Value               "Annex IX part 4 of Directive 2006/48/EC without taking into account the provisions in annex IX part 4 points 8 or 22 of Directive 2006/48/EC regarding the maximum risk-weighted exposure amounts." -> "Annex IX part 4 of Directive 2006/48/EC without taking into account the provisions in annex IX part 4 point 44 of Directive 2006/48/EC 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."
00017Added      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/ss, concept-reference]
00018Added      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/ss, 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
00019Modified               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."
00020Added      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]
00021AddedReference Linkbaset-ss-2006-07-01-reference.xml
00022Added   roleRef Element   http://www.c-ebs.org/2006/corep/eu/ss
00023Added   XLink Declaration   http://www.c-ebs.org/2006/corep/eu/ss
00024Added      Reference Link      On Balance Sheet Items (d-et:OnBalanceSheetItems) -- ref-corep:Comment="See CR SA template and Annex IX, part 4, point 2, letters (a) and (b) of Directive 2006/48/EC" [reference] : [http://www.c-ebs.org/2006/corep/eu/ss, concept-reference]
00025Added      Reference Link      Originator: Total Exposures (d-cr:CreditRiskSASecutizationOriginator) -- ref-corep:Directive="2006/48/EC", ref:Article="4", ref:Paragraph="41" [reference] : [http://www.c-ebs.org/2006/corep/eu/ss, concept-reference]
00026Added      Reference Link      Sponsor: Total Exposures (d-cr:CreditRiskSASecutizationSponsor) -- 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/ss, concept-reference]
00027Added      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/ss, concept-reference]
00028Added      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/ss, concept-reference]