C 12.00 Credit Risk: Securitisation - Standardised Approach Instruction for Column 190 Exposure Value: Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template. Question 1. Column 200 of CRSA is a calculated column. Does it mean the same calculation applies to CRSEC SA? Question 2. If both the columns (C190 of SECSA and C200 of CRSA) are same, then there is no supporting validation for C190 for Securitisation- SA

C 12.00 Credit Risk: Securitisation - Standardised Approach Published on 21 Oct 2013 In the latest instruction document description of C190 says This piece of information is related to column 200 of the CR SA Total template. We do not find any formula mentioned on the template or do not find supporting validation in Annex XV to conclude both the columns are same.

The second sentence of the instructions of column 190 (Exposure value) of C 12.00 template (CR SEC SA) refers to column 200 of the C 07.00 template (CR SA Total) because the calculation of the exposure value for SA securitization exposures follows the same structure as the calculation of the exposure value for SA credit exposures (exposure value after taking into account value adjustments, all credit risk mitigations and credit conversion factors that is to be assigned to risk weights). This structure is described in the instructions of column 200 of the CR SA Total template. Likewise, several columns of the CR SEC SA and CR SEC IRB templates refer to instructions of columns of respectively CR SA and CR IRB because they follow the same structure.

1) Column 200 (Exposure value) of the CR SA template is a calculated column (for certain rows). The amounts reported in column 200 equal the fully adjusted exposure value (E*) after applying the credit conversion factors. This is reflected in the following validation rule: {c200} = {c150} - {c160} - (0.8 * {c170}) - (0.5 * {c180}) (see v0308_m, v1659_m, v1661_m). This validation rule cannot apply to column 190 the CR SEC SA template because the credit conversion factors in CR SEC SA are not fixed rates like in CR SA, but rates buckets.

2) The exposure value amounts of column 190 of CR SEC SA and of column 200 of CR SA are unconnected because the exposures are separate SA exposure classes.