{"text_format":"3","workbook":"xls","n_sheets":14,"sheets":["CR SA","CR SA Ref list","CR IRB","CR IRB Ref list","CR EQU IRB","CR EQU IRB Ref list","CR SEC SA","CR SEC SA Reflist","CR SEC IRB ","CR SEC IRB Reflist","CR SEC Details","CR SEC Details Ref list","CR SETT","CR SETT Ref list"],"not_rendered":{"external_links":3,"defined_names":48},"read":"whole","date_system":"1900","formulas":"cached_only"}

{"sheet":"CR SA","index":0,"n_rows":37,"n_cols":24,"rows_kept":37,"merged":[[2,1,2,2],[4,2,4,3],[4,4,7,4],[4,5,7,5],[4,6,4,11],[4,12,7,12],[4,13,4,15],[4,16,7,16],[4,17,4,20],[4,21,7,21],[4,22,7,22],[4,23,7,23],[5,3,7,3],[5,6,5,7],[5,8,5,9],[5,10,5,11],[5,13,7,13],[5,14,7,14],[5,17,7,17],[5,18,7,18],[5,19,7,19],[5,20,7,20],[6,6,7,6],[6,7,7,7],[6,8,7,8],[6,9,7,9],[6,10,7,10],[6,11,7,11],[6,15,7,15],[10,1,10,23],[16,1,16,23],[36,1,36,23]],"flags":["formulas_cached_only"]}
[]
[null,"CR SA","CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS"]
[null," SA Exposure class / IRB Exposure class:"]
[]
[null,null,"ORIGINAL EXPOSURE PRE CONVERSION FACTORS",null,"(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE ","EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":5},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD ",null,null,"FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE ","RISK WEIGHTED EXPOSURE AMOUNT","CAPITAL REQUIREMENTS"]
[{"$nulls":3},"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK",null,null,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)",null,"FUNDED CREDIT PROTECTION",null,"SUBSTITUTION OF THE EXPOSURE DUE TO CRM",null,null,"VOLATILITY ADJUSTMENT TO THE EXPOSURE ","(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)",null,null,{"v":0,"d":"0%"},{"v":0.2,"d":"20%"},{"v":0.5,"d":"50%"},{"v":1,"d":"100%"}]
[{"$nulls":6},"GUARANTEES","CREDIT DERIVATIVES","FINANCIAL COLLATERAL: SIMPLE METHOD","OTHER FUNDED CREDIT PROTECTION","(-) TOTAL OUTFLOWS","TOTAL INFLOWS (+)",{"$nulls":3},"(-) VOLATILITY AND MATURITY ADJUSTMENTS "]
[]
[null,null,1,2,3,"4=1+3",5,6,7,8,9,10,"11=4+9+10",12,13,14,"15=11+12+13",16,17,18,19,"20=15-16-0,8*17-0,5*18",21,22]
[null,"TOTAL EXPOSURES",{"$nulls":21},"Cell linked to CA"]
[null,"  BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:"]
[null,"  On balance sheet items"]
[null,"  Off balance sheet items"]
[null,"  Securities Financing Transactions & Long Settlement Transactions"]
[null,"  Derivatives"]
[null,"  From Contractual Cross Product Netting"]
[null,"  BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:"]
[null,"\n0%"]
[null,{"v":0.1,"d":"10%"}]
[null,{"v":0.2,"d":"20%"}]
[null,{"v":0.35,"d":"35%"}]
[null,{"v":0.5,"d":"50%"}]
[null,"of which:                past due (a)"]
[null,"without credit assessment by a nominated ECAI (a)"]
[null,"secured by commercial real estate(a)"]
[null,{"v":0.7,"d":"70%"}]
[null,{"v":0.75,"d":"75%"}]
[null,{"v":1,"d":"100%"}]
[null,"of which:                 past due (a)"]
[null,"without credit assessment by a nominated ECAI (a)"]
[null,"secured by real estate (a)"]
[null,{"v":1.5,"d":"150%"}]
[null,"of which:                 past due (a)"]
[null,{"v":2,"d":"200%"}]
[null,"Other risk weights"]
[]
[null,"(a) These rows would be applicable if the Institution reports the data for the IRB exposure classes and for the Total exposure class."]

{"sheet":"CR SA Ref list","index":1,"n_rows":55,"n_cols":4,"rows_kept":55,"merged":[[4,1,4,3],[16,3,18,3],[29,1,29,3],[40,1,40,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SA"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,1,"Original exposure pre conversion factors","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 with the following qualifications stemming from article 78 paragraph 2 of Directive 2006/48/EC:\nFor Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to annex III of Directive 2006/48/EC or subject to Annex II point 5 in connection with point 6 of Directive 2006/49/EC,  the original exposure will correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in annex III parts 3, 4, 5, 6 and 7 of Directive 2006/48/EC.\nIn the case of master netting agreements covering repurchase transactions and / or securities or commodities lending or borrowing transactions and/ or other capital market driven transactions subject to annex VIII of Directive 2006/48/EC, the effect of Funded Credit Protection in the form of master netting agreements as under annex VIII part 3 point  22 of Directive 2006/48/EC shall be included.\nExposure values for leases subject to Annex VI, part 1, point 90 of Directive 2006/48/EC."]
[null,2,"Of which: Arising from Counterparty Credit Risk","For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to annex III of Directive 2006/48/EC,  the original exposure will correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in annex III parts 3, 4, 5, 6 and 7 of Directive 2006/48/EC."]
[null,3,"(-) Value adjustments and provision associated with the original exposure ","Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation 1606/2002) that affect the valuation of assets and off-balance sheet items according to article 74 paragraph 1 of Directive 2006/48/EC. "]
[null,4,"Exposure net of value adjustments and provisions","Columns 1+3"]
[null,"5-10","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","Credit risk mitigation techniques as defined in article 4 (30) of Directive 2006/48/EC that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Inflows and Outflows."]
[null,"5-6","Unfunded credit protection: adjusted values (Ga)","Annex VIII part 3 points 87 to 89 of Directive 2006/48/EC."]
[null,5,"Guarantees","Unfunded Credit Protection as defined in article 4 (32) of Directive 2006/48/EC different from Credit Derivatives"]
[null,6,"Credit derivatives","Annex VIII part 1 points 30 and 31 of Directive 2006/48/EC."]
[null,"7-8","Funded credit protection","Article 4 definition 31 of Directive 2006/48/EC and annex VIII part 1 points 3, 4, 7 to 10, 23, 24, 25 of Directive 2006/48/EC, therefore excluding master netting agreements (already included in Original Exposure pre conversion factors). Credit linked Notes and on -balance sheet netting according to Annex VIII part 3 of Directive 2006/48/EC are treated as cash collateral."]
[null,7,"Financial collateral: simple method","Annex VIII part 3 points 24 and 25 of Directive 2006/48/EC."]
[null,8,"Other funded credit protection","Annex VIII part 3 points 79-82 of Directive 2006/48/EC."]
[null,"9-10","SUBSTITUTION OF THE EXPOSURE DUE TO CRM","Annex VIII part 3 points 26, 87, 88 of Directive 2006/48/EC. Outflows correspond to the covered part of the EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades.\nInflows and outflows within the same exposure classes and, when relevant,  risk weights or obligor grades should also be reported."]
[null,9,"(-) Total Outflows "]
[null,10,"Total Inflows (+)"]
[null,11,"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE"]
[null,"12-14","CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD ","Annex VIII part 3 points 30 to 59 of Directive 2006/48/EC. It also includes credit linked notes (Annex VIII part 3 point 3 of Directive 2006/48/EC)"]
[null,12,"Volatility adjustment to the exposure (+)","Annex VIII part 3 point 33 of Directive 2006/48/EC. The amount to be reported is given by the impact of  the volatility adjustment to the exposure (Eva-E) = E*He"]
[null,13,"(-) Financial collateral: adjusted value (Cvam)","Annex VIII part 4 point 7 of Directive 2006/48/EC. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to annex II point 9 of Directive 2006/49/EC. The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*), where for a definition of C, Hc, Hfx, t, T and t* see annex VIII parts 3 and 4 of Directive 2006/48/EC."]
[null,14,"(-) VOLATILITY AND MATURITY ADJUSTMENTS","Annex VIII part 3 points 30 to 32 of Directive 2006/48/EC and annex VIII part 4 point 7 of Directive 2006/48/EC. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]"]
[null,15,"Fully adjusted exposure value (E*)","Annex VIII part 3 points 22, 33 and 60 of Directive 2006/48/EC."]
[null,"16-19","Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors","Article 78 paragraph 1 of Directive 2006/48/EC and article 4 definition 28 of Directive 2006/48/EC. See also annex VIII part 3 points 26 and 60 of Directive 2006/48/EC."]
[null,20,"Exposure value","Annex VIII part 3 of Directive 2006/48/EC. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to article 80 and annex VI part 1 of Directive 2006/48/EC."]
[null,21,"Risk weighted exposure amount","Article 80 paragraphs 1 to 5 and 6 of Directive 2006/48/EC. "]
[null,22,"Capital requirements","Article 75 and 78 to 83 of Directive 2006/48/EC."]
[null,"ROWS"]
[null,null,"On-balance sheet items","Assets referred to in article 74 of Directive 2006/48/EC not included in any other category"]
[null,null,"Off-balance sheet items","Items included in annex II of Directive 2006/48/EC except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting"]
[null,null,"Securities Financing Transactions & Long Settlement Transactions","Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basle Committe document \"The Application of Basel II to Trading Activities and the Treatment of Double Default Effects\", includes: (i) Repurchase and reverse repurchase agreements as well as securities or commodities lending and borrowing transactions as defined in article 3 paragraph 1, lit (m) and (n) of Directive 2006/49/EC; (ii) margin lending transactions as defined in part 1 of annex III of Directive 2006/48/EC.\nLong Settlement Transactions as defined in part 1 of annex III, paragraph 4 of Directive 2006/48/EC."]
[null,null,"Derivatives","Items included in Annex IV of Directive 2006/48/EC."]
[null,null,"From Contractual Cross Product Netting","Exposures that due to the existence of a contractual cross product netting (as defined in part 1, point 12 of annex III of Directive 2006/48/EC) can not be assigned to either Derivatives or Securities Financing Transactions & Long Settlement Transactions will be included under this category. "]
[null,null,"Of which: past due","Article 79 paragraph 1.j) of Directive 2006/48/EC."]
[null,null,"Without credit assessment by a nominated ECAI","See article 81 and annex VI of Directive 2006/48/EC."]
[null,null,"Secured by real estate","Exposures under article 79 paragraph 1.i) of Directive 2006/48/EC that are subject to a 100% risk weight."]
[null,null,"Secured by commercial real estate","Annex VI part 1 points 51 to 60 of Directive 2006/48/EC."]
[null,null,"Other risk weights","For reporting those exposures not subject to the risk weights listed in the template, as a result of national discretion. Countries may require a further breakdown of this line."]
[null,"OTHER"]
[null,null,"SA EXPOSURE CLASSES","SA exposure classes will comprise those in article 79 (1) of Directive 2006/48/EC plus the \"Total\".\nIn principle, for Institutions applying the StandardiSed Approach (SA) to all their exposures subject to minimum own funds requirements for credit risk, the SA exposure classes breakdown will apply. "]
[null,null,"IRB  EXPOSURE CLASSES"," IRB exposure classes will comprise those cited below plus the \"Total\". In principle, for Institutions applying only to part of their exposures the SA, the IRB exposure classes' breakdown will apply."]
[null,null,"CENTRAL GOVERNMENT AND CENTRAL BANKS","Article 86, paragraph 1 lit a) of Directive 2006/48/EC."]
[null,null,"INSTITUTIONS","Article 86, paragraph 1 lit b) of Directive 2006/48/EC."]
[null,null,"OF WHICH: CREDIT INSTITUTIONS & INVESTMENT FIRMS","For a definition of credit institution see article 4 definition 1 of Directive 2006/48/EC. For Investment firms see article 3 definition 1(b) of Directive 2006/49/EC."]
[null,null,"CORPORATES","Article 86, paragraph 1 lit c) of Directive 2006/48/EC."]
[null,null,"OF WHICH: SPECIALISED LENDING","Article 86 paragraph 6 of Directive 2006/48/EC."]
[null,null,"                   SME","SME stands for companies for which the criteria in annex VII part 1 point 5 of Directive 2006/48/EC for size adjustment are satisfied."]
[null,null,"RETAIL","Article 86, paragraph 1 lit d) of Directive 2006/48/EC."]
[null,null,"SECURED BY REAL ESTATE","Annex VII part 1 points 10 to 16 of Directive 2006/48/EC."]
[null,null,"QUALIFYING REVOLVING","Annex VII part 1 points 10 to 16 of Directive 2006/48/EC."]
[null,null,"OTHER RETAIL","Annex VII part 1 points 10 to 16 of Directive 2006/48/EC."]
[null,null,"OF WHICH: SME","Article 86 paragraph 4 (a) of Directive 2006/48/EC."]
[null,null,"EQUITY","Article 86 paragraph 1 lit e) of Directive 2006/48/EC."]

{"sheet":"CR IRB","index":2,"n_rows":41,"n_cols":29,"rows_kept":41,"merged":[[7,2,8,2],[7,3,8,4],[7,10,11,10],[7,12,11,12],[7,14,7,20],[7,22,11,22],[7,23,11,23],[7,24,11,24],[7,25,11,25],[7,26,7,28],[8,5,8,6],[8,7,11,7],[8,14,8,15],[8,16,8,20],[8,21,11,21],[8,26,11,26],[8,27,11,27],[8,28,11,28],[9,2,11,2],[9,3,11,3],[9,4,11,4],[9,5,11,5],[9,6,11,6],[9,8,11,8],[9,9,11,9],[9,11,11,11],[9,13,11,13],[9,14,11,14],[9,15,11,15],[9,16,11,16],[9,17,11,17],[10,1,11,1],[10,18,11,18],[10,19,11,19],[10,20,11,20],[14,1,14,28],[21,1,21,28],[22,21,25,21],[27,1,27,28],[38,1,38,28],[39,1,39,28]],"flags":["formulas_cached_only"]}
[]
[null,"CR IRB","CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS"]
[]
[null,"IRB Exposure class:"]
[null,"Own estimates of LGD and/or conversion factors:"]
[]
[]
[null,null,"INTERNAL RATING SYSTEM","ORIGINAL EXPOSURE PRE CONVERSION FACTORS",null,"CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":4},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS",null,"EXPOSURE VALUE",null,"CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT",{"$nulls":6},"SUBJECT TO DOUBLE DEFAULT TREATMENT","EXPOSURE WEIGHTED AVERAGE LGD (%)","EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)","RISK WEIGHTED EXPOSURE AMOUNT","CAPITAL REQUIREMENTS","MEMORANDUM ITEMS:"]
[{"$nulls":5},"UNFUNDED CREDIT PROTECTION",null,"OTHER FUNDED CREDIT PROTECTION","SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":5},"OWN ESTIMATES OF LGD'S ARE USED:\nUNFUNDED CREDIT PROTECTION",null,"FUNDED CREDIT PROTECTION",{"$nulls":4},"UNFUNDED CREDIT PROTECTION",{"$nulls":4},"EXPECTED LOSS AMOUNT","(-) VALUE ADJUSTMENTS AND PROVISIONS","NUMBER OF OBLIGORS"]
[null,null,"PD ASSIGNED TO THE OBLIGOR GRADE OR POOL\n(%)",null,"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK","GUARANTEES","CREDIT DERIVATIVES",null,"(-) TOTAL OUTFLOWS","TOTAL INFLOWS (+)",null,"OF WHICH: OFF BALANCE SHEET ITEMS",null,"OF WHICH: OFF BALANCE SHEET ITEMS","GUARANTEES","CREDIT DERIVATIVES","OWN ESTIMATES OF LGD'S ARE USED:\nOTHER FUNDED CREDIT PROTECTION","ELIGIBLE FINANCIAL COLLATERAL","OTHER ELIGIBLE COLLATERAL"]
[{"$nulls":18},"REAL ESTATE","OTHER PHYSICAL COLLATERAL ","RECEIVABLES"]
[]
[null,null,1,2,3,4,5,6,7,8,"9=2+7+8",10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27]
[null,"1. TOTAL EXPOSURES",{"$nulls":23},"Cell linked to CA"]
[null," BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:"]
[null,"On balance sheet items"]
[null,"Off balance sheet items"]
[null,"Securities Financing Transactions & Long Settlement Transactions"]
[null,"Derivatives"]
[null,"From Contractual Cross Product Netting"]
[null,"1.1 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL"]
[null,"BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS:"]
[null,"OBLIGOR GRADE OR POOL(a):1"]
[null,2]
[null,"....."]
[null,"N"]
[null,"1.2 SPECIALIZED LENDING SLOTTING CRITERIA (b): TOTAL"]
[null,"BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:"]
[null,"RISK WEIGHT: 0%"]
[null,{"v":0.5,"d":"50%"}]
[null,{"v":0.7,"d":"70%"}]
[null,"Of which: in category 1"]
[null,{"v":0.9,"d":"90%"}]
[null,{"v":1.15,"d":"115%"}]
[null,{"v":2.5,"d":"250%"}]
[null,"1.3 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE"]
[null,"1.4 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS"]
[null,"1.5 DILUTION RISK: TOTAL PURCHASED RECEIVABLES"]
[]
[null,"(a) Order from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100%. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) will not be assigned according to the PD of the obligor."]
[null,"(b) This row will be available for the specialized lending, corporate and total exposure classes"]

{"sheet":"CR IRB Ref list","index":3,"n_rows":51,"n_cols":4,"rows_kept":51,"merged":[[4,1,4,3],[13,3,15,3],[36,1,36,3],[48,1,48,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR IRB"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,1,"Internal rating system","Annex VII part 1 point 1 and annex VII part 4 points 1 and 2 of Directive 2006/48/EC.\nIn case the reporting institution applies a unique rating system or is able to report according to an internal master scale these will be used. In any other case, the different rating systems should be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems should be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher."]
[null,1,"PD ASSIGNED TO THE OBLIGOR GRADE OR POOL","Annex VII part 4 points 59 to 72 of Directive 2006/48/EC.\nFor each individual grade or pool the PD assigned to the specific obligor grade or pool should be reported. \nFor figures corresponding to an aggregation of obligor grades or pools (e.g. 1. Total Exposures, On balance sheet items, Off balance sheet items, ..., 1.1 Exposures assigned to obligor grades, 1.5 Dilution Risk) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation should be provided. The exposure value (column 11) shall be used for the calculation of the exposure-weighted averages."]
[null,2,"ORIGINAL EXPOSURE PRE CONVERSION FACTORS","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.\nAnnex 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).\nExposures that qualify for the double default treatment will be classified according to the PD of the obligor."]
[null,3,"OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK","See CR SA template"]
[null,"4-8","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","Credit risk mitigation techniques as defined in article 4 (30) of Directive 2006/48/EC that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Inflows and Outflows."]
[null,4,"Guarantees:","When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex VIII part 3 points 90 to 92  of Directive 2006/48/EC should be provided.\nWhen Own estimates of LGD are used: Annex VII part 4 points from 96 to 102 of Directive 2006/48/EC. The nominal amount of the guarantee should be reported."]
[null,5,"Credit derivatives","When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex VIII part 3 points 90 to 92 of Directive 2006/48/EC should be provided.\nWhen Own estimates of LGD are used: Annex VII part 4 points from 96 to 104 of Directive 2006/48/EC. The nominal amount of the credit derivative should be reported. \nCredit derivatives will be reported in column 5 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 14 shall be used."]
[null,6,"Other funded credit protection","When own estimates of LGD are not used: annex VIII part 3 points 79 to 82 of Directive 2006/48/EC.\nWhen own estimates of LGD are used: those credit risk mitigants that comply with the criteria in annex VIII part 2 points 12 and 13 of Directive 2006/48/EC. To be reported in column 6 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 15 shall be used"]
[null,"7-8","SUBSTITUTION OF THE EXPOSURE DUE TO CRM","When own estimates of LGD are not used: annex VIII part 3 points 90 of Directive 2006/48/EC.\nWhen own estimates of LGD are used: For exposures to central government and central banks, institutions and corporates: Annex VII part 2 point 6 of Directive 2006/48/EC. For retail exposures Annex VII part 2 point 20 of Directive 2006/48/EC. \nOutflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade or pool. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades or pools.\nInflows and outflows within the same exposure classes and, when relevant,  risk weights, obligor grades or pools should also be considered."]
[null,7,"(-) Total Outflows"]
[null,8,"Total Inflows (+)"]
[null,9,"Exposure after CRM substitution effects pre conversion factors","Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE"]
[null,"10, 12","OF WHICH: OFF BALANCE SHEET ITEMS","See legal references & comments for rows"]
[null,11,"EXPOSURE VALUE","Annex VII part 3 of Directive 2006/48/EC except points 12 and 13 and Annex VIII part 3 point 69 of Directive 2006/48/EC."]
[null,"13-19","CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT","Excludes the CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques taken into account in columns 6 to 10. \nWhen own estimates of LGD are not used: Annex VIII part 3 points 61, 68, 76, 77 and 78 of Directive 2006/48/EC.\nWhen own estimates of LGD are used:\n  - Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Annex VII part 2 point 10 of Directive 2006/48/EC. For retail exposures Annex VII part 2 point 22 of Directive 2006/48/EC.\n  - Regarding funded credit protection collateral taken into account in the LGD estimates according to points 77 and 78 of annex VII part 4 of Directive 2006/48/EC."]
[null,13,"Guarantees:","See column 4"]
[null,14,"Credit derivatives","See column 5"]
[null,15,"Other funded credit protection","See column 6"]
[null,16,"Eligible financial collateral ","For trading book operations includes financial instruments and commodities eligible for trading book exposures according to annex II point 9 of Directive 2006/49/EC. Credit linked Notes and on -balance sheet netting according to Annex VIII part 3 of Directive 2006/48/EC are treated as cash collateral.\nWhen own estimates of LGD are not used: Annex VIII part 1 points 7 to 11 of Directive 2006/48/EC, adjusted value (Cvam) as set out in Annex VIII part 3 point 33 of Directive 2006/48/EC shall be reported.\nWhen own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to points 77 and 78 of annex VII part 4 of Directive 2006/48/EC. The amount to be reported should be the estimated market value of the collateral."]
[null,"17-19","Other eligible collateral","When own estimates of LGD are not used: annex VIII part 1 points 12 to 22 and annex VIII part 3 points 62 to 67 of Directive 2006/48/EC.\nWhen own estimates of LGD are used: other collateral taken into account in the LGD estimates according to points 77 and 78 of annex VII part 4 of Directive 2006/48/EC."]
[null,17,"Real estate","When own estimates of LGD are not used: annex VIII part 1 points 13 to 19 of Directive 2006/48/EC. Leasing of real estate property will also be included (see annex VIII part 1 point 22). See also annex VIII part 3 points 62 to 67 of Directive 2006/48/EC.\nWhen own estimates of LGD are used: the amount to be reported should be the estimated market value."]
[null,18,"Other physical collateral","When own estimates of LGD are not used: Annex VIII part 1 points 21 of Directive 2006/48/EC. Leasing of property different from real estate will also be included (see annex VIII part 1 point 22 of Directive 2006/48/EC). See also annex VIII part 3 point 67 of Directive 2006/48/EC. \nWhen own estimates of LGD are used: the amount to be reported should be the estimated market value of collateral."]
[null,19,"Receivables","When own estimates of LGD are not used: annex VIII part 1 point 20 of Directive 2006/48/EC and annex VIII part 3 point 66 of Directive 2006/48/EC.\nWhen own estimates of LGD are used: the amount to be reported should be the estimated market value of collateral."]
[null,20,"SUBJECT TO DOUBLE  DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION","Guarantees and credit derivatives covering exposures subject to the double default treatment. See annex VIII part 1 point 29 of Directive 2006/48/EC and annex VIII part 2 point 22 of Directive 2006/48/EC. See also legal references & comments for guarantees and credit derivatives. "]
[null,21,"EXPOSURE WEIGHTED AVERAGE LGD (%)","All the impact of CRM techniques on LGD values as specified in annexes VII and VIII of Directive 2006/48/EC should be considered. In the case of exposures subject to the double default treatment the LGD to be reported will correspond to the one selected according to annex VII part 2 point 11 of Directive 2006/48/EC.\nFor defaulted exposures, provisions laid down in annex VII part 4 point 80 of Directive 2006/48/EC should be considered. The exposure value (column 11) shall be used for the calculation of the exposure-weighted averages."]
[null,22,"EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)","Annex VII part 2 points 12 to 16 of Directive 2006/48/EC. The exposure value (column 11) shall be used for the calculation of the exposure-weighted averages."]
[null,23,"RISK WEIGHTED EXPOSURE AMOUNT","For Central governments and Central Banks, Corporate and Institutions see annex VII part 1 points 3 and 4 of Directive 2006/48/EC. For Retail see see annex VII part 1 point 10 of Directive 2006/48/EC."]
[null,24,"CAPITAL REQUIREMENTS","Article 75 (a) of Directive 2006/48/EC."]
[null,25,"EXPECTED LOSS AMOUNT","For the definition of Expected Loss see Article 4 paragraph 29 of Directive 2006/48/EC, for calculation see Annex VII part 1 point from 29 to 35 of Directive 2006/48/EC. "]
[null,26,"(-) VALUE ADJUSTMENTS AND PROVISIONS","Annex VII part 1 point 36 of Directive 2006/48/EC."]
[null,27,"NUMBER OF OBLIGORS","Annex VII part 4 points 19, 22 and 24 of Directive 2006/48/EC."]
[null,"ROWS"]
[null,null,"On-balance sheet items","See CR SA template"]
[null,null,"Off-balance sheet items","See CR SA template"]
[null,null,"Securities Financing Transactions & Long Settlement Transactions","See CR SA template"]
[null,null,"Derivatives","See CR SA template"]
[null,null,"From Contractual Cross Product Netting","See CR SA template"]
[null,1.1,"Exposures assigned to obligor grade or pool","For exposures to Corporates, institutions and Central governments and Central Banks see Annex VII part 4 point 7 of Directive 2006/48/EC. For retail exposures see Annex VII part 4 point 14 of Directive 2006/48/EC. For Exposures arising from purchased receivables see Annex VII part 3 point 6 of Directive 2006/48/EC. \nExposures for dilution risk of purchased receivables will not be reported by obligor grades or pools and will be reported in row DILUTION RISK: TOTAL PURCHASED RECEIVABLES.\nWhere the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. "]
[null,1.2,"SPECIALIZED LENDING SLOTTING CRITERIA ","Annex VII part 1 point 6 of Directive 2006/48/EC. This only applies to the corporate exposure class"]
[null,null,"Of which: In category 1","Annex VII part 1 point 6 table 1 of Directive 2006/48/EC."]
[null,1.3,"ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE","Articles 92 and 93, annex VIII part 3 points 73 to 75 of Directive 2006/48/EC. "]
[null,1.4,"EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS","Exposures arising from free deliveries for which the alternative treatment referred to in annex II point 3 of Directive 2006/49/EC, first subparagraph last sentence is used or for which a 100% risk weight is applied according to annex II point 3 last subparagraph of Directive 2006/49/EC. Unrated nth to default credit derivatives under annex VII part 1 point 9 of directive 2006/48/EC and any other exposure subject to risk weights not included in any other row should be reported in this row."]
[null,1.5,"DILUTION RISK: TOTAL PURCHASED RECEIVABLES","See article 4 (24) of Directive 2006/48/EC for a definition of dilution risk. For calculation of risk weight for dilution risk see annex VII part 1 point 28 of Directive 2006/48/EC."]
[null,"OTHER"]
[null,null,"IRB Exposure classes","See CR SA template. The equity exposure class does not apply to this template"]
[null,null,"Own estimates of LGD and/or credit conversion factors","Article 86 of Directive 2006/48/EC. Yes shall be reported when the Institution has been approved to use own estimates for the corresponding exposure class. If an Institution or group uses a mix of approaches for the estimate of LGD's for certain exposure classes, different reportings should be provided for each approach. Therefore no mixed reporting of own estimates of LGD's and supervisory LGD's should be provided."]

{"sheet":"CR EQU IRB","index":4,"n_rows":25,"n_cols":17,"rows_kept":25,"merged":[[3,2,3,11],[5,2,6,2],[5,3,8,3],[5,8,8,8],[5,9,6,9],[5,10,8,10],[5,11,6,11],[5,12,8,12],[5,13,8,13],[5,14,8,14],[5,15,5,16],[6,4,6,5],[6,15,8,15],[6,16,8,16],[7,2,8,2],[7,4,8,4],[7,5,8,5],[7,6,8,6],[7,7,8,7],[7,9,8,9],[7,11,8,11],[12,1,12,16],[18,1,18,16]],"flags":["formulas_cached_only"]}
[]
[null,"CR EQU IRB","CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS"]
[]
[]
[]
[null,null,"INTERNAL RATING SYSTEM","ORIGINAL EXPOSURE PRE CONVERSION FACTORS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":3},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTOR",null,"EXPOSURE VALUE",null,"EXPOSURE WEIGHTED AVERAGE LGD\n(%)","RISK WEIGHTED EXPOSURE AMOUNT","CAPITAL REQUIREMENTS","MEMORANDUM ITEM:"]
[{"$nulls":4},"UNFUNDED CREDIT PROTECTION",null,"SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":8},"EXPECTED LOSS AMOUNT","(-) VALUE ADJUSTMENTS AND PROVISIONS"]
[null,null,"PD ASSIGNED TO THE OBLIGOR GRADE\n(%)",null,"GUARANTEES","CREDIT DERIVATIVES","(-) TOTAL OUTFLOWS","TOTAL INFLOWS (+)",null,"OF WHICH: OFF BALANCE SHEET ITEMS",null,"OF WHICH: OFF BALANCE SHEET ITEMS"]
[]
[null,null,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15]
[null,"TOTAL IRB EQUITY EXPOSURES",{"$nulls":12},"Cell linked to CA"]
[null,"1. PD/LGD APPROACH: TOTAL "]
[null,"BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APPROACH BY OBLIGOR GRADES:"]
[null,"OBLIGOR GRADE(a): 1"]
[null,2]
[null,"....."]
[null,"N"]
[null,"2. SIMPLE RISK WEIGHT APPROACH: TOTAL"]
[null,"BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS:"]
[null,"RISK WEIGHT: 190%"]
[null,{"v":2.9,"d":"290%"}]
[null,{"v":3.7,"d":"370%"}]
[null,"3. INTERNAL MODELS APPROACH"]
[]
[null,"(a) Order from the lower to the higher according to the PD assigned to the obligor grade"]

{"sheet":"CR EQU IRB Ref list","index":5,"n_rows":27,"n_cols":4,"rows_kept":27,"flags":["formulas_cached_only"]}
[]
[null,"CR EQU IRB"]
[]
[null,"ID","Label","Legal References & Comments"]
[null,"COLUMNS"]
[null,1,"Internal rating system","See CR IRB template. "]
[null,1,"PD ASSIGNED TO THE OBLIGOR GRADE","See \" PD assigned to the Obligor grade or pool\" in the CR IRB template"]
[null,2,"ORIGINAL EXPOSURE PRE CONVERSION FACTORS","For PD LGD approach see annex VII part 3 point 12 of Directive 2006/48/EC.\nFor the simple risk weight, see annex VII part 1 point 19 of Directive 2006/48/EC."]
[null,"3-6","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR IRB template and annex VII part 1 points 21, 24 and 26 of Directive 2006/48/EC."]
[null,3,"Guarantees:","See CR IRB template. "]
[null,4,"Credit derivatives","  \"       \"   "]
[null,"5-6","SUBSTITUTION OF THE EXPOSURE DUE TO CRM","  \"       \"   "]
[null,5,"(-) Total Outflows","  \"       \"   "]
[null,6,"Total Inflows","  \"       \"   "]
[null,7,"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","  \"       \"   "]
[null,"8,10","Off balance sheet items","See CR SA template"]
[null,9,"Exposure value","Annex VII part 3 point 12 of Directive 2006/48/EC. "]
[null,11,"Exposure weighted average LGD  (%)","See annex VII part 2 points 25 and 26 of Directive 2006/48/EC."]
[null,12,"Risk weighted exposure amount","For PD LGD approach, see annex VII part 1 points 22 to 24 of Directive 2006/48/EC.\nFor simple risk weight see annex VII part 1 points 19 to 21 of Directive 2006/48/EC.\nFor the internal models, see annex VII part 1 point 25 of Directive 2006/48/EC."]
[null,13,"Capital requirements","See CR IRB template"]
[null,14,"EXPECTED LOSS AMOUNT","For PD LGD approach, see annex VII part 1 point 33 of Directive 2006/48/EC.\nFor the simple risk weight, see annex VII part 1 point 32 of Directive 2006/48/EC."]
[null,15,"(-) Value adjustments and provisions","See IRB template"]
[null,"OTHER"]
[null,null,"PD LGD Approach ","Annex VII part 1 points 22 to 24 of Directive 2006/48/EC."]
[null,null,"Obligor grade"," See \"Obligor grade or pool\" in CR IRB template. Annex VII part 2 point 24 of Directive 2006/48/EC for PD determination in PD LGD approach according to the methods for corporate exposures."]
[null,null,"Simple risk weight approach","Annex VII part 1 points 19 and 20 of Directive 2006/48/EC."]
[null,null,"internal models approach","Annex VII part 1 point 25 of Directive 2006/48/EC."]

{"sheet":"CR SEC SA","index":6,"n_rows":30,"n_cols":40,"rows_kept":30,"merged":[[1,1,1,2],[5,2,7,2],[5,3,5,5],[5,7,7,7],[5,8,7,8],[5,9,5,12],[5,13,7,13],[5,14,7,14],[5,15,7,15],[5,16,5,19],[5,20,7,20],[5,23,5,33],[5,34,7,34],[5,35,7,35],[5,36,7,36],[5,37,7,37],[5,38,7,38],[5,39,7,39],[6,3,7,3],[6,5,7,5],[6,6,7,6],[6,9,7,9],[6,10,7,10],[6,11,6,12],[6,16,7,16],[6,17,7,17],[6,18,7,18],[6,19,7,19],[6,21,7,21],[6,22,7,22],[6,23,6,29],[6,30,6,31],[6,32,6,33],[9,0,9,1],[11,0,11,1],[19,0,19,1],[27,0,27,1]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC SA",null,"CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO CAPITAL REQUIREMENTS"]
[]
[null,"Securitisation type:"]
[]
[null,null,"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES",null,null,"SECURITISATION POSITIONS","(-) VALUE ADJUSTMENTS AND PROVISIONS","EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":3},"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE    ",null,null,"BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS",{"$nulls":10},"RISK WEIGHTED EXPOSURE AMOUNT","OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","MEMORANDUM ITEM:\nCAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":3},"(-) FUNDED CREDIT PROTECTION (Cva) \n"," (-) TOTAL OUTFLOWS ","NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","ORIGINAL EXPOSURE PRE CONVERSION FACTORS",null,null,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","FUNDED CREDIT PROTECTION","SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":4},{"v":0,"d":"0%"},">0% and <=20%",">20% and <=50%",">50% and <=100%",null,"(-) DEDUCTED FROM OWN FUNDS","SUBJECT TO RISK WEIGHTS","RATED\n(CREDIT QUALITY STEPS 1 TO 4)",{"$nulls":6},{"v":12.5,"d":"1250%"},null,"LOOK-THROUGH"]
[{"$nulls":4},"UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) ",{"$nulls":6},"(-) TOTAL OUTFLOWS ","TOTAL INFLOWS",{"$nulls":10},{"v":0.2,"d":"20%"},{"v":0.4,"d":"40%"},{"v":0.5,"d":"50%"},{"v":1,"d":"100%"},{"v":2.25,"d":"225%"},{"v":3.5,"d":"350%"},{"v":6.5,"d":"650%"},"RATED","UNRATED",null,"OF WHICH: SECOND LOSS IN ABCP"]
[null,null,1,2,3,4,5,6,"7=5+6",8,9,10,11,12,13,14,15,16,17,18,19,20,"21=19+20",22,"22b",23,24,"24b",25,"25b",26,27,28,29,30,"30tris","30bis",31,32,33]
["TOTAL EXPOSURES",{"$nulls":38},"Cell linked to CA"]
[null,"OF WHICH : RE-SECURITISATION",{"$nulls":37},"Cell linked to CA"]
["ORIGINATOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
[null,"EARLY AMORTIZATION"]
["INVESTOR: TOTAL EXPOSURES"]
[null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS"]
[null,"RE-SECURITISATIONS"]
["SPONSOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"OFF BALANCE ITEMS AND DERIVATIVES"]

{"sheet":"CR SEC SA Reflist","index":7,"n_rows":50,"n_cols":4,"rows_kept":50,"merged":[[4,1,4,3],[35,1,35,3],[46,1,46,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC SA"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","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 and derivatives 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 19 of the Directive 2006/48/EC."]
[null,"2-4","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES","Annex IX part 2 points 4 to 7 of Directive 2006/48/EC. Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch."]
[null,2,"(-) FUNDED CREDIT PROTECTION (Cva)  ","Annex VIII, part 3, point 33 of the Directive 2006/48/EC. "]
[null,3," (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) ","Annex VIII, part 3, point 84 of the Directive 2006/48/EC. "]
[null,4,"NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","The effect of supervisory haircuts in the credit protection should not be taken into account when computing the retained or repurchased amount of credit protection"]
[null,5,"SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","Securitisation 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 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. 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. 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)."]
[null,6,"(-) VALUE ADJUSTMENTS AND PROVISIONS ","See CR SA template"]
[null,7,"EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS","Securitization positions according to annex IX part 4 points 1,2, 4 and 5 of Directive 2006/48/EC, without applying convesion factors"]
[null,"8-11","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR SA template"]
[null,8,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","See CR SA template"]
[null,9,"FUNDED CREDIT PROTECTION","See CR SA template"]
[null,10," (-) TOTAL OUTFLOWS","See CR SA template"]
[null,11,"TOTAL INFLOWS","See CR SA template"]
[null,12,"NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","See CR SA template."]
[null,13,"(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","See CR SA template"]
[null,14,"FULLY ADJUSTED EXPOSURE VALUE (E*)","Securitization positions according to annex IX part 4 points 1, 2 (a), 2 (b), 3, 4 and 5 of Directive 2006/48/EC, therefore without applying the conversion figures laid down in annex IX part 4 point 2( c) of Directive 2006/48/EC."]
[null,"15-18","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS","Annex IX part 4 point 2 (c) of Directive 2006/48/EC."]
[null,19,"EXPOSURE VALUE    ","Securitization positions according to annex IX part 4 points 1 to 5 of Directive 2006/48/EC."]
[null,20,"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","Annex IX part 4 point 35 of Directive 2006/48/EC."]
[null,21,"EXPOSURE VALUE SUBJECT TO RISK WEIGHTS","=19+20"]
[null,"'22-26","Rated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,27,"Unrated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,28,"LOOK-THROUGH","Annex IX part 4 points 9, 10, 11, 12 and 24 of Directive 2006/48/EC. The look-through columns comprise all the cases of unrated exposures where the risk weight is  obtained 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)."]
[null,29,"OF WHICH: SECOND LOSS IN ABCP","Exposure value subject to the treatment specified in annex IX part 4 point 11 of Directive 2006/48/EC."]
[null,30,"RISK WEIGHTED EXPOSURE AMOUNT","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 and excluding any risk weighted exposure amount  corresponding to exposures redistributed via outflows to another template. For synthetic securitisations with maturity mismatches, the amount to be reported in this column should ignore any maturity mismatch."]
[null,"30tris","OVERALL EFFECT (ADUSTEMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","Article 122a, point 5 of Directive 2006/48/EC"]
[null,"30bis","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","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 30 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates."]
[null,31,"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","Capital requirements derived from the risk weighted exposure amount 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. 31=(30+30bis+30tris)*8%"]
[null,32,"MEMORANDUM ITEM: CAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","Capital requirements stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions"]
[null,33,"TOTAL CAPITAL REQUIREMENTS AFTER CAP","Total capital requirements subject to securitisation treatment after applying the cap as specified in annex IX part 4 points 8 or 22 of Directive 2006/48/EC."]
[null,"ROWS"]
[null,null,"Of which: Re-securitisation","Article 4 (40a) and (40b) of Directive 2006/48/EC"]
[null,null,"Originator","Article 4 (41) of Directive 2006/48/EC."]
[null,null,"Investor","Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)","Article 122a, point 5 of Directive 2006/48/EC"]
[null,null,"Sponsor","Article 4 (42) of Directive 2006/48/EC. If a sponsor is also securitising it own assets, it should fill in in the originator's rows the information regarding its own securitised assets"]
[null,null,"ON BALANCE SHEET ITEMS","See CR SA template and Annex IX, part 4, point 2, letters (a) and (b) of Directive 2006/48/EC"]
[null,null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES","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."]
[null,null,"SECURITISATIONS","Annex IX part 4 table 1 of Directive 2006/48/EC"]
[null,null,"RE-SECURITISATIONS","Annex IX part 4 table 1 of Directive 2006/48/EC"]
[null,null,"Early amortisation","Article 100, paragraph 2 of Directive 2006/48/EC. Only relevant for originators in revolving exposure securitisations containing early amortisation provisions. "]
[null,"OTHER"]
[null,null,"Securitisation type","The securitisation type breakdown is: total, traditional and synthetic as defined below"]
[null,null,"Traditional securitisation","Article 4 (37) of Directive 2006/48/EC."]
[null,"                                                                                 ","Synthetic securitisation","Article 4 (38) of Directive 2006/48/EC."]

{"sheet":"CR SEC IRB ","index":8,"n_rows":43,"n_cols":52,"rows_kept":43,"merged":[[5,3,8,3],[5,4,5,6],[5,8,5,11],[5,12,8,12],[5,13,8,13],[5,14,8,14],[5,15,5,18],[5,19,8,19],[5,22,5,44],[5,45,8,45],[5,46,8,46],[5,47,8,47],[5,48,8,48],[5,49,8,49],[5,50,8,50],[5,51,8,51],[6,4,8,4],[6,5,7,5],[6,6,8,6],[6,7,8,7],[6,8,8,8],[6,9,8,9],[6,10,7,11],[6,15,8,15],[6,16,8,16],[6,17,8,17],[6,18,8,18],[6,20,8,20],[6,21,8,21],[6,22,6,37],[6,38,6,39],[6,40,6,41],[6,42,8,42],[6,43,6,44],[7,22,8,22],[7,23,8,23],[7,24,8,24],[7,25,8,25],[7,26,8,26],[7,27,8,27],[7,28,8,28],[7,29,8,29],[7,30,8,30],[7,31,8,31],[7,32,8,32],[7,33,8,33],[7,34,8,34],[7,35,8,35],[7,36,8,36],[7,37,8,37],[7,38,8,38],[7,39,8,39],[7,40,7,41],[7,43,7,44],[10,0,10,1],[12,0,12,1],[14,1,16,1],[17,1,18,1],[20,1,22,1],[23,1,24,1],[26,0,26,1],[29,1,31,1],[32,1,33,1],[35,1,37,1],[38,1,39,1],[40,0,40,1],[43,38,43,45]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC IRB",null,"CREDIT RISK: SECURITISATIONS  - IRB APPROACH TO CAPITAL REQUIREMENTS"]
[]
[null,"Securitisation type:"]
[]
[{"$nulls":3},"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES",null,null,"SECURITISATION POSITIONS","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE",{"$nulls":3},"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","FULLY ADJUSTED EXPOSURE VALUE (E*)","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS",{"$nulls":3},"EXPOSURE VALUE    ",null,null,"BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS",{"$nulls":22},"(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS","RISK WEIGHTED EXPOSURE AMOUNT","OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","MEMORANDUM ITEM:\nCAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES ","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":4},"(-) FUNDED CREDIT PROTECTION (Cva) "," (-) TOTAL OUTFLOWS   ","NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","ORIGINAL EXPOSURE PRE CONVERSION FACTORS","UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","FUNDED CREDIT PROTECTION","SUBSTITUTION OF THE EXPOSURE DUE TO CRM",{"$nulls":4},{"v":0,"d":"0%"},">0% and\n <=20%",">20% and\n <=50%",">50% and\n <=100%",null,"(-) DEDUCTED FROM OWN FUNDS","SUBJECT TO RISK WEIGHTS","RATINGS BASED METHOD\n(CREDIT QUALITY STEPS 1 TO 11)",{"$nulls":15},{"v":12.5,"d":"1250%"},null,"SUPERVISORY FORMULA METHOD",null,"LOOK-THROUGH"," INTERNAL ASSESMENT APPROACH"]
[{"$nulls":22},"7 - 10%","12 - 18%","20 - \n35%","40 - \n75%",{"v":1,"d":"100%"},{"v":1.5,"d":"150%"},{"v":2,"d":"200%"},{"v":2.25,"d":"225%"},{"v":2.5,"d":"250%"},{"v":3,"d":"300%"},{"v":3.5,"d":"350%"},{"v":4.25,"d":"425%"},{"v":5,"d":"500%"},{"v":6.5,"d":"650%"},{"v":7.5,"d":"750%"},{"v":8.5,"d":"850%"},"RATED","UNRATED","SECURITISATION POSITIONS",null,null,"SECURITISATION POSITIONS"]
[{"$nulls":5},"UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)    ",{"$nulls":4},"(-) TOTAL OUTFLOWS ","TOTAL INFLOWS",{"$nulls":29},"AVERAGE RISK WEIGHT (%)",null,null,"AVERAGE RISK WEIGHT (%)"]
[{"$nulls":3},1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,"19=17+18",20,21,22,23,24,"24b","24c","24d",25,"25b","25c",26,"26b",27,"27b","27c",28,29,30,31,32,33,34,35,36,"36tris","36bis",37,38,39]
["TOTAL EXPOSURES",{"$nulls":50},"Cell linked to CA"]
[null,"OF WHICH : RE-SECURITISATION",{"$nulls":49},"Cell linked to CA"]
["ORIGINATOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
[null,"EARLY AMORTIZATION"]
["INVESTOR: TOTAL EXPOSURES"]
[null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]
[null,"SECURITISATIONS","A"]
[null,null,"B"]
[null,null,"C "]
[null,"RE-SECURITISATIONS","D"]
[null,null,"E"]
["SPONSOR: TOTAL EXPOSURES"]
[null,"ON BALANCE SHEET ITEMS"]
[null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES"]

{"sheet":"CR SEC IRB Reflist","index":9,"n_rows":52,"n_cols":4,"rows_kept":52,"merged":[[4,1,4,3],[38,1,38,3],[48,1,48,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC IRB"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED","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 and derivatives 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.\nIn 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."]
[null,"2-4","SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES","Annex IX part 2 points 4 to 7 of Directive 2006/48/EC. Following these provisions the credit protection to the securitised exposures should be as there was no security mismatch."]
[null,2,"(-) FUNDED CREDIT PROTECTION (Cva)  ","Annex VIII, part 3, point 33 of the Directive 2006/48/EC. "]
[null,3," (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) ","Annex VIII, part 3, point 84 of the Directive 2006/48/EC. "]
[null,4,"NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION","The effect of supervisory haircuts in the credit protection should not be taken into account when computing the retained or repurchased amount of credit protection"]
[null,5,"SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","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.\nNetting 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.\nIn 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)"]
[null,"6-9","CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE","See CR SA template"]
[null,6,"UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)","See CR SA template"]
[null,7,"FUNDED CREDIT PROTECTION","See CR SA template"]
[null,8," (-) TOTAL OUTFLOWS","See CR SA template"]
[null,9,"TOTAL INFLOWS","See CR SA template"]
[null,10,"EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS","See CR SA template. "]
[null,11,"(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)","See CR SA template"]
[null,12,"FULLY ADJUSTED EXPOSURE VALUE (E*)","Securitization positions according to annex IX part 4 points 1, 2 (a), 2 (b), 3, 4 and 5 of Directive 2006/48/EC, therefore without applying the conversion figures laid down in annex IX part 4 point 2 (c) of Directive 2006/48/EC."]
[null,"13-16","BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS","Annex IX part 4 point 2 (c) of Directive 2006/48/EC."]
[null,17,"EXPOSURE VALUE    ","Securitization positions according to annex IX part 4 points 1 to 5 of Directive 2006/48/EC."]
[null,18,"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","Annex IX part 4 point 74 of Directive 2006/48/EC. See also annex IX part 4 point 75  of Directive 2006/48/EC."]
[null,19,"EXPOSURE VALUE SUBJECT TO RISK WEIGHTS","=17+18"]
[null,"20-27c","RATINGS BASED METHOD","Annex IX part 4 points 46 to 51 of Directive 2006/48/EC."]
[null,28,"Rated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,29,"Unrated","Annex IX part 1 point 1 of Directive 2006/48/EC."]
[null,30,"SUPERVISORY FORMULA METHOD","Annex IX part 4 points 52 to 54 of Directive 2006/48/EC."]
[null,31,"AVERAGE RISK WEIGHT","For positions with credit risk mitigation, the credit institution shall indicate the \"effective risk weight\" of the position when full protection has been received, according to what is established in annex IX part 4 point 63 of Directive 2006/48/EC. When the position benefits from partial protection, the credit institution must apply the Supervisory Formula Method using the T adjusted according to what is established in annex IX part 4 point 67 of Directive 2006/48/EC. Exposure value weighted average risk weight should be provided."]
[null,32,"LOOK-THROUGH","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."]
[null,33,"INTERNAL ASSESSMENT APPROACH","Annex IX part 4 points 43 and 44 of Directive 2006/48/EC."]
[null,34,"AVERAGE RISK WEIGHT","Exposure value weighted average risk weight should be provided"]
[null,35,"REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS (-)","Annex IX part 4 points 72 and 73 of Directive 2006/48/EC. Paragraph 72 of Directive 2006/48/EC only applicable for originators and when the exposure has not been deducted from own funds"]
[null,36,"RISK WEIGHTED EXPOSURE AMOUNT","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."]
[null,"36tris","OVERALL EFFECT (ADUSTEMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS","Article 122a, point 5 of Directive 2006/48/EC"]
[null,"36bis","ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES","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."]
[null,37,"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","Capital requirements derived from the risk weighted exposure amount without taking into account the provisions in annex IX part 4 point 45 of Directive 2006/48/EC regarding the maximum risk-weighted exposure amounts. 37=(36+36bis+36tris)*8%"]
[null,38,"MEMORANDUM ITEM: CAPITAL REQUIREMENTS CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES","Capital requirements stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions"]
[null,39,"TOTAL CAPITAL REQUIREMENTS AFTER CAP","Total capital requirements subject to securitisation treatment after applying the cap as specified in annex IX part 4 point 45 of Directive 2006/48/EC."]
[null,"ROWS"]
[null,null,"Of which: Re-securitisation","Article 4 (40a) and (40b) of Directive 2006/48/EC"]
[null,null,"Originator","Article 4 (41) of Directive 2006/48/EC."]
[null,null,"Investor","Credit institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor"]
[null,null,"of which: originated and sponsored by entities not complying with the retention requirement (Art. 122a of amended CRD)","Article 122a, point 5 of Directive 2006/48/EC"]
[null,null,"Sponsor","Article 4 (42) of Directive 2006/48/EC. 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"]
[null,null,"ON BALANCE SHEET ITEMS","See CR SA template and Annex IX, part 4, point 2, letters (a) and (b) of Directive 2006/48/EC"]
[null,null,"OFF BALANCE SHEET ITEMS AND DERIVATIVES","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."]
[null,null,"Levels A to E","Annex IX part 4 table 4 of Directive 2006/48/EC"]
[null,null,"Early amortisation","Article 100, paragraph 2 of Directive 2006/48/EC. Only relevant for originators in revolving exposure securitisations containing early amortisation provisions. "]
[null,"OTHER"]
[null,null,"Securitisation type","The securitisation type breakdown is: total, traditional and synthetic as defined below."]
[null,null,"Traditional securitisation","Article 4 (37) of Directive 2006/48/EC."]
[null,"                                                                                 ","Synthetic securitisation","Article 4 (38) of Directive 2006/48/EC."]

{"sheet":"CR SEC Details","index":10,"n_rows":18,"n_cols":34,"rows_kept":18,"merged":[[3,1,6,1],[3,2,6,2],[3,3,6,3],[3,4,6,4],[3,5,3,7],[3,8,6,8],[3,9,3,10],[3,20,3,30],[3,31,6,31],[3,32,6,32],[3,33,6,33],[4,5,6,5],[4,6,6,6],[4,7,6,7],[4,9,6,9],[4,10,6,10],[4,11,5,11],[4,12,6,12],[4,13,6,13],[4,14,6,14],[4,15,6,15],[4,16,6,16],[4,17,6,17],[4,18,6,18],[4,19,6,19],[4,20,4,25],[4,26,4,28],[4,29,4,30],[5,20,5,21],[5,22,5,23],[5,24,5,25],[5,26,6,26],[5,27,6,27],[5,28,6,28],[5,29,6,29],[5,30,6,30]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC Details",{"$nulls":7},"CREDIT RISK: DETAILED INFORMATION ON SECURITISATIONS BY ORIGINATORS, SPONSORS AND ORIGINAL LENDERS"]
[]
[null,"INTERNAL CODE","IDENTIFIER OF THE SECURITISATION","SECURITISATION TYPE:\nTRADITIONAL / SYNTHETIC   ","SECURITISATION OR RE-SECURITISATION ?","Retention",null,null,"ROLE OF THE INSTITUTION:\nORIGINATOR/ SPONSOR/ ORIGINAL LENDER","NON ABCP PROGRAMS",null,null,"SECURITISED EXPOSURES",{"$nulls":6},"SECURITISATION STRUCTURE","SECURITISATION POSITIONS (ORIGINAL EXPOSURE PRE CONVERSION FACTORS)",{"$nulls":10},"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","TOTAL CAPITAL REQUIREMENTS BEFORE CAP","TOTAL CAPITAL REQUIREMENTS AFTER CAP"]
[{"$nulls":5},"Type of retention applied","% of retention at reporting date","Compliance with the retention requirement?",null,"ORIGINATION DATE \n(mm/yyyy)","TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE","TOTAL AMOUNT ","INSTITUTION'S SHARE\n(%)","TYPE","APPROACH APPLIED (SA/IRB/MIX)","NUMBER OF EXPOSURES"," ELGD %    ","(-) VALUE ADJUSTMENTS AND PROVISIONS","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION %","FIRST LOSS","ON BALANCE SHEET ITEMS",{"$nulls":5},"OFF-BALANCE SHEET ITEMS AND DERIVATIVES",null,null,"EARLY AMORTISATION"]
[{"$nulls":20},"MOST SENIOR",null,"MEZZANINE ",null,"FIRST LOSS ",null,"DIRECT CREDIT SUBSTITUTES","ELIGIBLE LIQUIDITY FACILITIES","OTHER","CONTROLLED? (yes/No)","CONVERSION FACTOR APPLIED"]
[{"$nulls":20},"RATED","UNRATED","RATED","UNRATED","RATED","UNRATED"]
[null,1,2,3,"3a","3b","3c","3d",4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29]
{"$rows_empty":9}
[null,"..."]

{"sheet":"CR SEC Details Ref list","index":11,"n_rows":43,"n_cols":4,"rows_kept":43,"merged":[[4,1,4,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SEC Details"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,1,"INTERNAL CODE","Internal code used by the institution to identify the securitisation"]
[null,2,"IDENTIFIER OF THE SECURITISATION","Name or coding by which the securitisation is known in the market"]
[null,3,"SECURITISATION TYPE: TRADITIONAL / SYNTHETIC  ","Report 'T' for Traditional and 'S' for Synthetic according to definitions in Article 4, points 37 and 38 of Directive 2006/48/EC."]
[null,"3a","SECURITISATION OR RE-SECURITISATION ?","Annex I, point 16a of Direcitive 2006/49/EC. \nReport 'S' for securitisation and 'R' for re-securitisation according to definitions in Article 4, points 36 and 40a of Directive 2006/48/EC."]
[null,"3b-3d","Retention","Article 122a of Directive 2006/48/EC"]
[null,"3b","Type of retention applied","Article 122a point 1 of Directive 2006/48/EC\n\nReport the following abbreviations:\nA - Vertical slice (securitisation positions)\nA* - Vertical slice (securitised exposures);\nB - Revolving exposures;\nC- On-balance sheet;\nD- First loss;\nE-Exempted\nN-Not applicable\nU-In breach or unknown"]
[null,"3c","% of retention at reporting date","Article 122a point 1 of Directive 2006/48/EC"]
[null,"3d","Compliance with the retention requirement?","Article 122a point 1 of Directive 2006/48/EC\n\nReport the following abbreviations:\nY-Yes\nN-No"]
[null,4,"ROLE OF THE INSTITUTION: ORIGINATOR / SPONSOR / ORIGINAL LENDER","Report 'O' for Originator, 'S' for Sponsor and 'L' for Original Lender according to definitions in Article 4 points 41 (Originator) and 42 (Sponsor). Original lenders are assumed to be those institutions that being subject to the retention requirement as stated in Art 122a, para. 1 of Directive 2006/48/EC do not act as originators or sponsors. "]
[null,5,"ORIGINATION DATE ","Origination date is the cut-off date of the pool (closing date). "]
[null,6,"TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE","See CR SEC SA and CR SEC IRB and Origination date above. In the case of multi-seller securitisations, only the amount corresponding to the reporting institution should be reported"]
[null,"7-14","SECURITISED EXPOSURES ","In the case of multi-seller securitisations, only the amount corresponding to the reporting institution should be reported"]
[null,7,"TOTAL AMOUNT","See CR SEC SA and CR SEC IRB. "]
[null,8,"INSTITUTION'S SHARE","In the case of multi-seller securitisations, credit institutions should report the share the total amount of securitised exposures by them represents on the total securitised exposures of the securitisation."]
[null,9,"TYPE","The credit institution must choose among the following codes for the different options available:   1-residential mortgages; 2-commercial mortgages; 3-credit card receivables; 4-leasing;  5-loans to corporates or SMEs (treated as corporates); 6-consumer loans; 7-trade receivables; 9-other assets. In case the pool consists of different types of assets, the institution should indicate the most important type. In case of re-securitisations, the institution should refer to the ultimate underlying pool of assets."]
[null,10,"APPROACH APPLIED (SA/IRB/MIX)","Report 'SA' for Standardised Approach, 'IRB' for Internal Ratings Based Approach and 'MIX' if both approaches are used in the treatment of the securitised exposures"]
[null,11,"NUMBER OF EXPOSURES","Only relevant for credit institutions using the IRB approach to securitisation positions; credit institution should indicate the following letter code according to the relevant interval: (a) N<6; (b) 6≤N<34 (c) 34≤N<=100; (d) 100<N<=1000; (e) N>1000."]
[null,12," ELGD %    ","Only applicable to institutions applying the Supervisory Formula Method. The exposure-weighted average loss-given-default (ELGD) should be calculated as indicated in annex IX part 4 point 53 of Directive 2006/48/EC."]
[null,13,"(-) VALUE ADJUSTMENTS AND PROVISIONS","See CR SEC SA and CR SEC IRB"]
[null,14,"OWN FUNDS REQUIREMENTS BEFORE SECURITISATION %","Own funds requirements as if the securitised exposures were not securitised (as percentage of the total amount of securitised exposures)"]
[null,15,"SECURITISATION STRUCTURE: FIRST LOSS","See CR SEC SA and CR SEC IRB. In the case of multi-seller securitisations, only the amount corresponding or attributed to the reporting institution should be reported."]
[null,"16-26","SECURITISATION POSITIONS:\nORIGINAL EXPOSURE PRE CONVERSION FACTORS","See CR SEC SA and CR SEC IRB"]
[null,"16-21 ","ON BALANCE SHEET ITEMS","See CR SEC SA and CR SEC IRB"]
[null,"16-17","MOST SENIOR","Annex IX part 4 point 47 of Directive 2006/48/EC."]
[null,"18-19","MEZZANINE ","All tranches that do not qualify as most senior or first losses will be included in this category."]
[null,"20-21","FIRST LOSS","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."]
[null,"16, 18, 20","RATED","See CR SEC SA and CR SEC IRB"]
[null,"17, 19, 21","UNRATED","See CR SEC SA and CR SEC IRB"]
[null,"22-24","OFF-BALANCE SHEET ITEMS AND DERIVATIVES","See CR SEC SA and CR SEC IRB"]
[null,22,"DIRECT CREDIT SUBSTITUTES","See full risk items in annex II of Directive 2006/48/EC."]
[null,23,"ELIGIBLE LIQUIDITY FACILITIES","Liquidity facilities satisfying the requirements established in annex IX part 4 point 13 of Directive 2006/48/EC."]
[null,24,"OTHER","Other off balance sheet items and derivatives not included above"]
[null,"25-26","EARLY AMORTISATION","See CR SEC SA and CR SEC IRB"]
[null,25,"CONTROLLED? (yes/No)","Yes should be reported when the conditions in annex IX part 4 point 25 of Directive 2006/48/EC are met."]
[null,26,"CONVERSION FACTOR APPLIED","See CR SEC SA and CR SEC IRB"]
[null,27,"(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","See CR SEC SA and CR SEC IRB"]
[null,28,"TOTAL CAPITAL REQUIREMENTS BEFORE CAP","See CR SEC SA and CR SEC IRB"]
[null,29,"TOTAL CAPITAL REQUIREMENTS AFTER CAP","See CR SEC SA and CR SEC IRB"]

{"sheet":"CR SETT","index":12,"n_rows":17,"n_cols":8,"rows_kept":17,"flags":["formulas_cached_only"]}
[]
[null,"CR SETT",null,null,"                    SETTLEMENT/DELIVERY RISK"]
[]
[{"$nulls":5},"UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE","PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS","CAPITAL REQUIREMENTS"]
[{"$nulls":5},"(1)","(2)","(3)"]
[null,null,"1. Total unsettled transactions in the Non-trading Book",{"$nulls":4},"Cell linked to CA"]
[{"$nulls":3},"1.1 Transactions unsettled up to 4 days"]
[{"$nulls":3},"1.2 Transactions unsettled between 5 and 15 days"]
[{"$nulls":3},"1.3 Transactions unsettled between 16 and 30 days"]
[{"$nulls":3},"1.4 Transactions unsettled between 31 and 45 days"]
[{"$nulls":3},"1.5 Transactions unsettled for 46 days or more"]
[null,null,"2. Total unsettled transactions in the Trading Book",{"$nulls":4},"Cell linked to CA"]
[{"$nulls":3},"2.1 Transactions unsettled up to 4 days"]
[{"$nulls":3},"2.2 Transactions unsettled between 5 and 15 days"]
[{"$nulls":3},"2.3 Transactions unsettled between 16 and 30 days"]
[{"$nulls":3},"2.4 Transactions unsettled between 31 and 45 days"]
[{"$nulls":3},"2.5 Transactions unsettled for 46 days or more"]

{"sheet":"CR SETT Ref list","index":13,"n_rows":21,"n_cols":4,"rows_kept":21,"merged":[[4,1,4,3],[8,1,8,3]],"flags":["formulas_cached_only"]}
[]
[null,"CR SETT"]
[]
[null,"ID","Label","Legal references & Comments"]
[null,"COLUMNS"]
[null,"1","Unsettled transactions at settlement price","Annex II point 1 of Directive 2006/49/EC."]
[null,"2","Price difference exposure due to unsettled transactions","Annex II point 1 of Directive 2006/49/EC."]
[null,"3","Capital requirements","The capital charge for any exposure according to point 1 of Annex II of Directive 2006/49/EC."]
[null,"ROWS"]
[null,"1","TOTAL UNSETTLED TRANSACTIONS IN THE NON-TRADING BOOK","Unsettled transactions in the non-trading book and their correspondent capital requirements for settlement risk according to article 18(1) point (a) of Directive 2006/49/EC and point 1 of Annex II of Directive 2006/49/EC, and article 75 (c) of Directive 2006/48/EC. Be aware that the counterparty credit risk and the free deliveries referred to in Annex II will be dealt with in the CR SA or CR IRB templates"]
[null,"1.1","Transactions unsettled up to 4 days","Annex II point 1 Table 1 of Directive 2006/49/EC."]
[null,"1.2","Transactions unsettled between 5 and 15 days","Id."]
[null,"1.3","Transactions unsettled between 16 and 30 days","Id."]
[null,"1.4","Transactions unsettled between 31 and 45 days","Id."]
[null,"1.5","Transactions unsettled for 46 days or more","Id."]
[null,"2","TOTAL UNSETTLED TRANSACTIONS IN THE TRADING BOOK","Unsettled transactions in the trading book and their correspondent capital requirements for settlement risk according to article 18(1) point (a) of Directive 2006/49/EC and point 1 of Annex II of Directive 2006/49/EC, and article 75 (c) of Directive 2006/48/EC. Be aware that the counterparty credit risk and the free deliveries referred to in Annex II will be dealt with in the CR SA or CR IRB templates."]
[null,"2.1","Transactions unsettled up to 4 days","Annex II point 1 Table 1 of Directive 2006/49/EC."]
[null,"2.2","Transactions unsettled between 5 and 15 days","Id."]
[null,"2.3","Transactions unsettled between 16 and 30 days","Id."]
[null,"2.4","Transactions unsettled between 31 and 45 days","Id."]
[null,"2.5","Transactions unsettled for 46 days or more","Id."]