Number | Difference Type | Name | Identifier / Value From -> Value To |
| Modified | Reference Linkbase | p-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] |
00001 | Added | 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 |
00002 | Modified | 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 |
00003 | Modified | 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 |
00004 | 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 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 |
00005 | Modified | title Attribute | "reference: SySeFundedProtection to reference_SySeFundedProtection" -> "reference: SyntheticSecuritizationsFundedCreditProtection to reference_SyntheticSecuritizationsFundedCreditProtection" |
| Modified | Locator | reference_SyntheticSecuritizationsFundedCreditProtection |
00006 | Modified | id Attribute | "reference_SySeFundedProtection" -> "reference_SyntheticSecuritizationsFundedCreditProtection" |
00007 | Modified | label Attribute | "reference_SySeFundedProtection" -> "reference_SyntheticSecuritizationsFundedCreditProtection" |
00008 | Modified | 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 |
00009 | Modified | Value | "IX" -> "VIII" |
| Modified | part Element | ref-corep:Part |
00010 | Modified | Value | "2" -> "3" |
| Modified | part Element | ref:Paragraph |
00011 | Modified | Value | "5,6 and 8" -> "33" |
00012 | Removed | 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 |
00013 | Modified | title Attribute | "reference: SySeUnfundedProtectionAdjustedValue to reference_SySeUnfundedProtectionAdjustedValue" -> "reference: SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue to reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue" |
| Modified | Locator | reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue |
00014 | Modified | id Attribute | "reference_SySeUnfundedProtectionAdjustedValue" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue" |
00015 | Modified | label Attribute | "reference_SySeUnfundedProtectionAdjustedValue" -> "reference_SyntheticSecuritizationsUnfundedCreditProtectionAdjustedValue" |
00016 | Modified | 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 |
00017 | Modified | Value | "IX" -> "VIII" |
| Modified | part Element | ref-corep:Part |
00018 | Modified | Value | "2" -> "3" |
| Modified | part Element | ref:Paragraph |
00019 | Modified | Value | "5,6 and 8" -> "84" |
00020 | Removed | 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 |
00021 | Modified | 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)" |
00022 | 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/si, concept-reference] |
00023 | 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/si, 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 |
00024 | 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." |
00025 | 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] |
| | | |
00026 | Added | Reference Linkbase | t-si-2006-07-01-reference.xml |
00027 | Added | roleRef Element | http://www.c-ebs.org/2006/corep/eu/si |
00028 | Added | XLink Declaration | http://www.c-ebs.org/2006/corep/eu/si |
00029 | Added | 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] |
00030 | Added | 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] |
00031 | Added | 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] |
00032 | Added | 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] |
00033 | 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/si, concept-reference] |
00034 | 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/si, concept-reference] |