DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ROW NUMBER
INTERNAL CODE
IDENTIFIER OF THE SECURITISATION
IDENTIFIER OF THE ORIGINATOR
SECURITISATION TYPE:
(TRADITIONAL/SYNTHETIC)
ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?
SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements?
SECURITISATION OR RE-SECURITISATION?
RETENTION
ROLE OF THE INSTITUTION:
(ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)
NON ABCP PROGRAMMES
SECURITISED EXPOSURES
SECURITISATION STRUCTURE
SECURITISATION POSITIONS
(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
TOTAL RISK-WEIGHTED EXPOSURE AMOUNT
SECURITISATION POSITIONS - TRADING BOOK
TYPE OF RETENTION APPLIED
% OF RETENTION AT REPORTING DATE
COMPLIANCE WITH THE RETENTION REQUIREMENT?
ORIGINATION DATE
(mm/yyyy)
TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE
TOTAL AMOUNT
INSTITUTION'S SHARE (%)
TYPE
APPROACH APPLIED (SA/IRB/MIX)
NUMBER OF EXPOSURES
COUNTRY
ELGD (%)
(-) VALUE ADJUSTMENTS AND PROVISIONS
OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)
ON-BALANCE SHEET ITEMS
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
MATURITY
ORIGINAL EXPOSURE PRE-CONVERSION FACTORS
MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
EARLY AMORTISATION
CTP OR NON-CTP?
NET POSITIONS
TOTAL OWN FUNDS REQUIREMENTS (SA)
SENIOR
MEZZANINE
FIRST LOSS
SENIOR
MEZZANINE
FIRST LOSS
FIRST FORESEEABLE TERMINATION DATE
LEGAL FINAL MATURITY DATE
ON-BALANCE SHEET ITEMS
OFF-BALANCE SHEET ITEMS AND DERIVATIVES
DIRECT CREDIT SUBSTITUTES
IRS/CRS
ELIGIBLE LIQUIDITY FACILITIES
OTHER (including non-eligible LF)
CONVERSION FACTOR APPLIED
SENIOR
MEZZANINE
FIRST LOSS
SENIOR
MEZZANINE
FIRST LOSS
BEFORE CAP
AFTER CAP
LONG
SHORT
SPECIFIC RISK
C 16.00 - OPERATIONAL RISK (OPR)
BANKING ACTIVITIES
RELEVANT INDICATOR
LOANS AND ADVANCES
(IN CASE OF ASA APPLICATION)
OWN FUNDS REQUIREMENT
Total operational risk exposure amount
AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE
YEAR-3
YEAR-2
LAST YEAR
YEAR-3
YEAR-2
LAST YEAR
OF WHICH:
DUE TO AN ALLOCATION MECHANISM
OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION
(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)
O71
1.
BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)
Cell linked to CA2
2.
BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES
Cell linked to CA2
SUBJECT TO TSA:
CORPORATE FINANCE (CF)
TRADING AND SALES (TS)
RETAIL BROKERAGE (RBr)
COMMERCIAL BANKING (CB)
RETAIL BANKING (RB)
PAYMENT AND SETTLEMENT (PS)
AGENCY SERVICES (AS)
ASSET MANAGEMENT (AM)
SUBJECT TO ASA:
COMMERCIAL BANKING (CB)
RETAIL BANKING (RB)
3.
BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA
Cell linked to CA2
C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
MAPPING OF LOSSES TO BUSINESS LINES
EVENT TYPES
TOTAL EVENT TYPES
MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION
INTERNAL FRAUD
EXTERNAL FRAUD
EMPLOYMENT PRACTICES AND WORKPLACE SAFETY
CLIENTS, PRODUCTS & BUSINESS PRACTICES
DAMAGE TO PHYSICAL ASSETS
BUSINESS DISRUPTION AND SYSTEM FAILURES
EXECUTION, DELIVERY & PROCESS MANAGEMENT
LOWEST
HIGHEST
Rows
CORPORATE FINANCE [CF]
Number of events (new events)
Gross loss amount (new events)
Number of events subject to loss adjustments
Loss adjustments relating to previous reporting periods
Maximum single loss
Sum of