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(NotionalAmount) |
This dimension identifies the measurement approach used to calculate this amount. The information reported is in relation to the notional amount and represents the total contractually committed amount or limit of any facility.
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(SecuritisationBasisSwap) |
This dimension identifies what the derivative entitles you to do or obliges you to provide. The information reported represents a basis swap which is an interest rate swap aimed at limiting basis risk in a securitisation. For the purposes of securitisation, a basis swap includes a payment stream on one leg of the swap based on an observable market rate or index, and a payment stream on the other leg based on rates set by a party to the swap, typically the originating entity.
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(DerivativeTransactions) |
The information categories securitised exposures according to the type of facility. The information reported is in relation to any derivative transactions provided by the reporting entity to a securitisation program.
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(NotOriginated) |
This dimension categorises information reported in relation to securities held, based on the reporting entity's relationship to the issuing counterparty. Report only where the counterparty is a securitisation and was not originated by the reporting entity (i.e. where the reporting entity is not the originating party). The reporting entity is determined to be the originating entity with respect to a particular securitisation, where the reporting entity: (i) directly or indirectly originates underlying exposures in the pool; (ii) is the managing entity of the securitisation; or (iii) provides a facility (other than derivatives) or credit enhancement to an Asset Backed Commercial Paper (ABCP) securitisation.
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