ANNEX XXVII

Legal basis

Row number

Qualitative information - Free format

Article 449(a) CRR

(a)

Description of securitisation and re-securitisation activities; including institutions' risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy

Article 449(b) CRR

(b)

The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and:

i)  risk retained in own-originated transactions;

ii)  risk incurred in relation to transactions originated by third parties

Article 449(c ) CRR

(c)

Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions

Article 449(d) CRR

(d)

A list of SSPEs falling into any of the following categories, with a description of types of institution's exposures to those SSPEs, including derivatives contracts:

(i)  SSPEs which acquire exposures originated by the institutions;

(ii)  SSPEs sponsored by the institutions;

(iii)  SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services;

(iv)  SSPEs included in the institutions' regulatory scope of consolidation

Article 449(e ) CRR

(e)

A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three CRR

Article 449(f) CRR

(f)

A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions

Article 449(g) CRR

(g)

A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions

Article 449(h) CRR

(h)

The names of the ECAIs used for securitisations and the types of exposure for which each agency is used

Article 449(i) CRR

(i)

Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

Institution acts as originator

Institution acts as sponsor

Institution acts as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

STS

Non-STS

of which SRT

STS

Non-STS

STS

Non-STS

of which SRT

of which SRT

1

Total exposures

2

Retail (total)

3

residential mortgage

4

credit card

5

other retail exposures

6

re-securitisation

7

Wholesale (total)

8

loans to corporates

9

commercial mortgage

10

lease and receivables

11

other wholesale

12

re-securitisation

a

b

c

d

e

f

g

h

i

j

k

l

Institution acts as originator

Institution acts as sponsor

Institution acts as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

STS

Non-STS

STS

Non-STS

STS

Non-STS

1

Total exposures

2

Retail (total)

3

residential mortgage

4

credit card

5

other retail exposures

6

re-securitisation

7

Wholesale (total)

8

loans to corporates

9

commercial mortgage

10

lease and receivables

11

other wholesale

12

re-securitisation

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

EU-p

EU-q

Exposure values (by RW bands/deductions)

Exposure values (by regulatory approach)

RWEA (by regulatory approach)

Capital charge after cap

≤ 20 % RW

> 20 % to 50 % RW

> 50 % to 100 % RW

> 100 % to < 1 250  % RW

1 250  % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250  % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250  % RW/

deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250  % RW/

deductions

1

Total exposures

2

Traditional transactions

3

Securitisation

4

Retail

5

Of which STS

6

Wholesale

7

Of which STS

8

Re-securitisation

9

Synthetic transactions

10

Securitisation

11

Retail underlying

12

Wholesale

13

Re-securitisation

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

EU-p

EU-q

Exposure values (by RW bands/deductions)

Exposure values (by regulatory approach)

RWEA (by regulatory approach)

Capital charge after cap

≤ 20 % RW

> 20 % to 50 % RW

> 50 % to 100 % RW

> 100 % to < 1 250  % RW

1 250  % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250  % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250  % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250  % RW/ deductions

1

Total exposures

2

Traditional securitisation

3

Securitisation

4

Retail underlying

5

Of which STS

6

Wholesale

7

Of which STS

8

Re-securitisation

9

Synthetic securitisation

10

Securitisation

11

Retail underlying

12

Wholesale

13

Re-securitisation

a

b

c

Exposures securitised by the institution - Institution acts as originator or as sponsor

Total outstanding nominal amount

Total amount of specific credit risk adjustments made during the period

Of which exposures in default

1

Total exposures

2

Retail (total)

3

residential mortgage

4

credit card

5

other retail exposures

6

re-securitisation

7

Wholesale (total)

8

loans to corporates

9

commercial mortgage

10

lease and receivables

11

other wholesale

12

re-securitisation