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{"sheet":"Summary","index":0,"n_rows":22,"n_cols":2,"rows_kept":22}
["Granular Securitisation Data for DP3/23","Version 1.1"]
["Firm Name"]
["FRN"]
["Reporting Basis"]
["Reporting Date"]
["Reporting Currency"]
["Date Completed"]
["Will Basel 3.1 Output Floor be binding?"]
["Comments (particularly explaining positions omitted)"]
[]
["Notes","The recommended reporting date is 30/06/2023, which is 2023Q2 for Corep. However, any reporting date from Nov 2022 onwards is acceptable."]
[null,"Please complete in units of the reporting currency, not in thousands or millions."]
[null,"For originators, sponsors and original lenders who do not hold a tranche in the securitisation, report only from 0010-0300."]
[null,"For investors or others who hold multiple tranches in the same securitisation, where possible use a separate row for each tranche held."]
[null,"Where multiple rows are used for multiple tranches, columns 0021-0300 will be duplicated, columns after 300 will be tranche-specific, columns 0010 and 0020 at firm's discretion."]
[null,"Columns that are found in C14.00 and C14.01 have the same meaning in this template, except where noted. See the \"Instructions\" tab for amendments to scope of reporting."]
[null,"Note that C0180 is the Effective Number of Exposures as in CRR Article 259(4)&(6). Where SEC-IRBA is used, this value should be the N that was used in the calculation. "]
[null,"The majority of new columns are simply splits of existing columns for retail and non-retail exposures. These need only be completed where the securitisation contains both retail and non-retail exposures."]
[null,"All known figures should be reported even if not used in the calculation of capital requirements (for example LGD if known and SEC-SA is used)."]
[null,"The template should be completed on a best-efforts basis. Where values are not available for some columns, these should be left blank and the other columns completed."]
[null,"The template should be completed at the highest consolidation-basis that is reasonably practicable."]
[null,"Please consider completing separate copies of the template for any other consolidation bases at which the Basel 3.1 Output Floor is expected to apply (specifically RFB)."]

{"sheet":"Instructions","index":1,"n_rows":51,"n_cols":3,"rows_kept":51}
[null,null,"This template and associated instructions are for the purposes of this one-off data collection only. They do not affect the PRA’s rule-based data collection."]
[]
["Key:","0123","Unchanged from Corep reporting instructions."]
[null,"0123","Scope expanded or clarified from Corep reporting instructions, new text in italics."]
[null,"0123","Scope expanded or clarified and instructions modified or clarified, new text in italics, emphasised old text in bold."]
[null,"New12","New item"]
[]
["0010","INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation The internal code shall be associated to the identifier of the securitisation transaction."]
["0020","IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation"]
["0021","INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? This column identifies whether the securitisation is an intra-group, private or public securitisation. Institutions shall report one of the following abbreviations: - ‘PRI’ for Private; - ‘INT’ for Intra-group; - ‘PUB’ for Public."]
["0110","ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGI\u0002NAL LENDER / INVESTOR) Institutions shall report the following abbreviations: - ‘O’ for Originator; - ‘S’ for Sponsor; - ‘I’ for Investor. - ‘L’ for Original Lender. Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply."]
["0040","SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION) Institutions shall report the following abbreviations: - ‘AP’ for ABCP programme; - ‘AT’ for ABCP transaction; - ‘T’ for Traditional; - ‘S’ for Synthetic. The definitions of ‘Asset Backed Commercial Paper Programme’, ‘Asset Backed Commercial Paper Transaction’, ‘traditional securitisation’ and ‘synthetic securitisation’ are provided in points (11) to (14) of Article 242 CRR."]
["0061","SIGNIFICANT RISK TRANSFER Originators, only, shall report the following abbreviations: - 'N' Not applied for SRT and the reporting entity risk weights its securitised exposures; - 'A' Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR; - 'B' Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR; - 'C' Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR; - 'D' Applying a 1 250% RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR. This column shall summarise whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator."]
["0070","SECURITISATION OR RE-SECURITISATION? In accordance with the definition of ‘securitisation’ in point (61) of Article 4(1) CRR and the definition of ‘re-securitisation’ in point (63) of Article 4(1) CRR, the type of securitisation using the following abbreviations shall be reported: - 'S' for securitisation; - 'R' for re-securitisation."]
["0075","STS SECURITISATION Article 18 of Regulation (EU) 2017/2402 Institutions shall report one of the following abbreviations: Y – Yes; N – No."]
["0140","TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced. This information shall be reported even where the reporting entity does not hold any positions in the securitisation."]
["0160","TYPE This column gathers information on the type of assets (‘Residential mortgages’ to ‘Other wholesale exposures’) or liabilities (‘Covered bonds’ and ‘Other liabilities’) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD: Retail: Residential mortgages; Credit card receivables; Consumer loans; Loans to SMEs (treated as retail); Other retail exposures. Wholesale: Commercial mortgages; Leasing; Loans to corporates; Loans to SMEs (treated as corporates); Trade receivables; Other wholesale exposures. Liabilities: Covered bonds; Other liabilities. Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type ‘Other liabilities’ includes treasury bonds and credit linked notes."]
["0171","% OF IRB IN APPROACH APPLIED This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures. Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities"]
["0180","NUMBER OF EXPOSURES Article 259(4)&(6) CRR  The institution shall report the effective number of exposures. Where SEC-IRBA is used, this should be the same as the value of N used in the calculation. This column shall not be reported in case of a securitisation of liabilities. Otherwise, this should be provided where known."]
["New01","NUMBER OF EXPOSURES RETAIL As for 0180, but calculated only for those exposures categorised as Retail. This shall be reported where New07 is neither 0% nor 100%."]
["New02","NUMBER OF EXPOSURES NON-RETAIL As for 0180, but calculated only for those exposures categorised as Wholesale. This shall be reported where New07 is neither 0% nor 100%."]
["0181","EXPOSURES IN DEFAULT ‘W’ (%) Article 261(2) CRR Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the ‘W’ factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR."]
["0201","LGD (%) The exposure-weighted average loss-given-default (LGD) shall be reported where known. The LGD is to be calculated as indicated in Article 259(5) CRR. This column shall not be reported in case of a securitisation of liabilities."]
["New03","LGD (%) RETAIL As for 0201, but calculated only for those exposures categorised as Retail. This shall be reported where New07 is neither 0% nor 100%."]
["New04","LGD (%) NON-RETAIL As for 0201, but calculated only for those exposures categorised as Wholesale. This shall be reported where New07 is neither 0% nor 100%."]
["0204","EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset in accordance with points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap."]
["0221","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB This column shall be reported where known and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation."]
["New05","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb RETAIL As for 0221, but only for the retail subpool. This shall be reported where New07 is neither 0% nor 100%."]
["New06","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb NON-RETAIL As for 0221, but only for the non-retail subpool. This shall be reported where New07 is neither 0% nor 100%."]
["New07","% OF RETAIL EXPOSURES The proportion of the total nominal exposures that are retail."]
["0223","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation."]
["New08","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa RETAIL As for 0223, but restricted to retail exposures. This shall be reported where New07 is neither 0% nor 100%."]
["New09","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa NON-RETAIL As for 0223, but restricted to wholesale exposures. This shall be reported where New07 is neither 0% nor 100%."]
["0231","ATTACHMENT POINT (%) The attachment point (%) for the senior tranche as referred to in Article 256(1) CRR"]
["0300","LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported."]
["New10","METHOD TO DETERMINE RISK WEIGHTS One of: SEC-IRBA; SEC-ERBA; SEC-SA; SEC-IAA; 1250%."]
["New11","ATTACHMENT POINT (%) The attachment point (%) of the held tranche as referred to in Article 256(1) CRR"]
["New12","DETACHMENT POINT (%) The detachment point (%) of the held tranche as referred to in Article 256(2) CRR "]
["0411","EXPOSURE VALUE The exposure value of the securitisation position calculated in accordance with Article 248 CRR"]
["0420","(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1 250% risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position."]
["0430","TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation position. The Originator shall not report this column where SRT has not been achieved (and so the risk weighted exposure amount is determined on the basis of the securitised exposures). In the case of securitisations of liabilities, this column shall not be reported."]
["0431","(-) REDUCTION DUE TO RISK WEIGHT CAP Article 267 CRR"]
["0432","(-) REDUCTION DUE TO OVERALL CAP Article 268 CRR. If more than one tranche is held, but one only tranche is being reported in this row, then this shall be pro-rated."]
["0440","TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation position. The Originator shall not report this column where SRT has not been achieved (and so the risk weighted exposure amount is determined on the basis of the securitised exposures). In the case of securitisations of liabilities, this column shall not be reported."]
["New13","CQS Credit quality steps (CQS) for the held tranche as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied."]
["0447","RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA."]
["0448","RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA."]
["New14","P-PARAMETER UNDER SEC-SA Article 261 CRR. Even where the institution does not apply the SEC-SA approach, this should be reported (as 0.5, 1 or 1.5)."]
["New15","P-PARAMETER UNDER SEC-IRBA. Article 259 CRR. This shall be reported if SEC-IRBA is applied to the securitisation position. "]
["New16","P-PARAMETER UNDER SEC-IRBA RETAIL The p-parameter for the retail subpool under Article 259(2) CRR. This shall be reported when Article 259(2) CRR applies."]
["New17","P-PARAMETER UNDER SEC-IRBA NON-RETAIL The p-parameter for the non-retail subpool under Article 259(2) CRR. This shall be reported when Article 259(2) CRR applies."]

{"sheet":"Granular Data","index":2,"n_rows":6,"n_cols":45,"rows_kept":6,"merged":[[1,9,1,26],[1,34,1,37]]}
[]
[null,"INTERNAL CODE","IDENTIFIER OF THE SECURITISATION","INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?","ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)","SECURITISATION TYPE","SIGNIFICANT RISK TRANSFER","SECURITISATION OR RE-SECURITISATION","STS SECURITISATION","SECURITISED EXPOSURES",{"$nulls":17},"SECURITISATION STRUCTURE","MATURITY","METHOD TO DETERMINE RISK WEIGHTS","ATTACHMENT POINT (%)","DETACHMENT POINT (%)","EXPOSURE VALUE","(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS","TOTAL RISK WEIGHTED EXPOSURE AMOUNT",{"$nulls":3},"CQS","MEMORANDUM ITEMS"]
[{"$nulls":9},"TOTAL AMOUNT","TYPE","% of IRB IN APPROACH APPLIED","NUMBER OF EXPOSURES","NUMBER OF EXPOSURES RETAIL","NUMBER OF EXPOSURES NON-RETAIL","EXPOSURES IN DEFAULT W (%)","LGD (%)","LGD (%) RETAIL","LGD (%) NON-RETAIL","EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb RETAIL","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb NON-RETAIL","% OF RETAIL EXPOSURES","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa RETAIL","OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa NON-RETAIL","ON-BALANCE SHEET ITEMS","LEGAL FINAL MATURITY DATE",{"$nulls":5},"BEFORE CAP","(-) REDUCTION DUE TO RISK WEIGHT CAP","(-) REDUCTION DUE TO OVERALL CAP","AFTER CAP",null,"RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA","RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA","P-PARAMETER UNDER SEC-SA","P-PARAMETER UNDER SEC-IRBA","P-PARAMETER UNDER SEC-IRBA RETAIL","P-PARAMETER UNDER SEC-IRBA NON-RETAIL"]
[{"$nulls":27},"SENIOR"]
[{"$nulls":27},"ATTACHMENT POINT (%)"]
["Equivalent Corep Column in C14.00 / C14.01","0010","0020","0021","0110","0040","0061","0070","0075","0140","0160","0171","0180","NEW01","NEW02","0181","0201","NEW03","NEW04","0204","0221","NEW05","NEW06","NEW07","0223","NEW08","NEW09","0231","0300","NEW10","NEW11","NEW12","0411","0420","0430","0431","0432","0440","NEW13","0447","0448","NEW14","NEW15","NEW16","NEW17"]