Number | Difference Type | Name | Identifier / Value From -> Value To |
| Modified | Reference Linkbase | p-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 |
00001 | Modified | 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] |
00002 | Added | 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 |
00003 | Modified | Value | "4" -> "3" |
| Modified | part Element | ref:Paragraph |
00004 | Modified | Value | "7" -> "33" |
00005 | Removed | 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 |
00006 | Modified | title Attribute | "reference: UnfundedProtectionAdjustedValue to reference_UnfundedProtectionAdjustedValue" -> "reference: SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues to reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues" |
| Modified | Locator | reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues |
00007 | Modified | id Attribute | "reference_UnfundedProtectionAdjustedValue_1134127724600_1" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues" |
00008 | Modified | label Attribute | "reference_UnfundedProtectionAdjustedValue_1134127724600_1" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValues" |
00009 | Modified | 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 |
00010 | Modified | Value | "IX" -> "VIII" |
| Modified | part Element | ref-corep:Part |
00011 | Modified | Value | "2" -> "3" |
| Modified | part Element | ref:Paragraph |
00012 | Modified | Value | "5-7" -> "84" |
00013 | Removed | 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 |
00014 | Modified | 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 |
00015 | Modified | 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 |
00016 | Modified | 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." |
00017 | Added | 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] |
00018 | Added | 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] |
| | | |
| Modified | Reference Linkbase | d-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 |
00019 | Modified | 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." |
00020 | Added | 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] |
| | | |
00021 | Added | Reference Linkbase | t-ss-2006-07-01-reference.xml |
00022 | Added | roleRef Element | http://www.c-ebs.org/2006/corep/eu/ss |
00023 | Added | XLink Declaration | http://www.c-ebs.org/2006/corep/eu/ss |
00024 | Added | 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] |
00025 | Added | 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] |
00026 | Added | 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] |
00027 | Added | 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] |
00028 | Added | 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] |