202101 StructuredFinance
Order | Field Name | Type | Enumeration | Definition | Range Bottom | Range Top | Range Scope | Mandatory | Unique |
---|---|---|---|---|---|---|---|---|---|
1 | Unique ID | String (255 long) | UniqueID | Yes | Yes | ||||
2 | Organisational unit level 1 | String (255 long) | Organisationalunitlevel1 | - | - | ||||
3 | Organisational unit level 2 | String (255 long) | Organisationalunitlevel2 | - | - | ||||
4 | Organisational unit level 3 | String (255 long) | Organisationalunitlevel3 | - | - | ||||
5 | Country of origin of underlyings | String (255 long) | CountryofExposure | CountryofOriginofUnderlyings | Yes | - | |||
6 | Structured finance asset class | String (255 long) | Securitisationpositionsassetclass | Structuredfinanceassetclass | Yes | - | |||
7 | Securitisation positions product type | String (255 long) | Securitisationpositionsproducttype | Securitisationpositionsproducttype | Yes | - | |||
8 | Securitisation positions sub product type | String (255 long) | Securitisationpositionssubproducttype | Securitisationpositionssubproducttype | Yes | - | |||
9 | SRT | String (255 long) | Significantrisktransfer | SRT | Yes | - | |||
10 | ISIN | String (255 long) | ISIN | - | - | ||||
11 | Seniority | String (255 long) | Senioritysecuritisation | Seniority | Yes | - | |||
12 | STS compliance | String (255 long) | STScompliance | STScompliance | Yes | - | |||
13 | Description of instrument | String (255 long) | DescriptionofInstrument | - | - | ||||
14 | Interest mechanism | String (255 long) | InterestMechanism | InterestMechanism | Yes | - | |||
15 | Structured finance position type | String (255 long) | Structuredfinancepositiontype | Structuredfinancepositiontype | Yes | - | |||
16 | Attachment point of tranche | Float | Attachmentpointoftranche | 0.0000 | 1.0000 | Inclusive | - | - | |
17 | Detachment point of tranche | Float | Detachmentpointoftranche | 0.0000 | 1.0000 | Inclusive | - | - | |
18 | Tranche maturity | Float | Tranchematurity | 0.0000 | Inclusive | - | - | ||
19 | Book type | String (255 long) | BookType | BookType | Yes | - | |||
20 | External credit rating | String (255 long) | ExternalcreditratingCQS | ExternalcreditratingCQS | Yes | - | |||
21 | Currency of instrument | String (255 long) | Currency | CurrencyofInstrument | Yes | - | |||
22 | IFRS9 stage | String (255 long) | IFRS9stage | IFRS9stage | Yes | - | |||
23 | Current notional | Float | CurrentNotional | Yes | - | ||||
24 | Regulatory carry value | Float | RegulatoryCarryValue | 0.0000 | Inclusive | Yes | - | ||
25 | Clean market value | Float | CleanMarketValue | - | - | ||||
26 | Quoted margin | Int | Quotedmargin | - | - | ||||
27 | Expected credit loss at initial recognition | Float | ECLatinitialrecognition | - | - | ||||
28 | Accounting designation | String (255 long) | AccountingDesignation | AccountingDesignation | - | - | |||
29 | Impairment provision | Float | Impairmentprovision | 0.0000 | Inclusive | - | - | ||
30 | PD regulatory | Float | PDregulatory | 0.0000 | 1.0000 | Inclusive | - | - | |
31 | LGD regulatory | Float | LGDregulatory | 0.0000 | 1.0000 | Inclusive | - | - | |
32 | Expected loss regulatory | Float | Expectedlossregulatory | 0.0000 | Inclusive | - | - | ||
33 | OCI reserve balance | Float | OCIreservebalance | - | - | ||||
34 | Capital requirement calculation approach | String (255 long) | CapitalRequirementCalculationApproachSecuritisationPositions | CapitalRequirementCalculationApproachSecuritisationPositions | Yes | - | |||
35 | RWA | Float | RWA | 0.0000 | Inclusive | Yes | - | ||
36 | Underlying capital charge | Float | Underlyingcapitalcharge | 0.0000 | Inclusive | - | - | ||
37 | Effective number of exposures | Float | Effectivenumberofexposures | 0.0000 | Inclusive | Yes | - | ||
38 | Defaulted exposures ratio | Float | Defaultedexposuresratio | 0.0000 | Inclusive | Yes | - |