Securitisation structure | Defines the tranche of the exposure in the securitisation structure. |
| Securitisation structure - Tranche of the exposure in the securitisation structure |
| x1 - First loss (Reports:C 14.00; C 14.01; F 32.03.a; F 32.03.b; ) |
| x2 - Mezzanine (Reports:C 14.00; C 14.01; F 32.03.a; F 32.03.b; ) |
| x3 - Senior (Reports:C 14.00; C 14.01; F 32.03.a; F 32.03.b; ) |
| x4 - Second loss in ABCP (Reports:) |
| x5 - Synthetic excess spread (tranche for the purposes of calculating attachment and detachment points) (Reports:C 14.00; C 14.01; ) |
| C 14.00 | CR SEC Details - Detailed information on securitisations |
| C 14.01 | CR SEC Details - (CR SEC Details) Detailed information on securitisations by approach |
| F 32.03.a | AE-NPL - Asset encumbrance: Not pledged. Own covered bonds and ABS issued and not yet pledged (a) |
| F 32.03.b | AE-NPL - Asset encumbrance: Not pledged. Own covered bonds and ABS issued and not yet pledged (b) |