Stress Test Data Framework Dictionary 2021: Version 02

Securitisation_positions

This worksheet captures exposures to third-party cash or synthetic securitisations held in either of the non-trading and trading books, including liquidity lines for securitisation transactions and exposures to own-originated securitisations which have achieved significant risk transfer, as specified in Chapter 5 of the CRR. This context excludes securitisations issued or guaranteed by international organisations, multilateral development banks, governments, or government agencies; exposures capitalised under Value-at-Risk (VaR); Self-issued and retained securitisations created purely for liquidity where regulatory capital is held against the underlying assets; unstructured loans; correlation trading portfolios; securitisation submitted by repo counterparties as collateral for short-term borrowing where the real exposure of the firm is to the borrower/counterparty; and derivatives related to eligible assets that are not capitalised under Chapter 5 of the CRR. Details should be provided on ABCP, but not on CP held which is issued by corporates or financials. Details are to be provided on derivatives and liquidity facilities which assume exposure to securitisations, but not on derivatives which provide market risk hedges to securitisations (i.e. details should be provided on TRS of ABS bonds, but not on fixed/floating balance-guaranteed swaps linked to a RMBS transaction). Wrapped protection, where applicable, should also be provided. If the wrap/protection/insurance/guarantee can be disaggregated from the bond, then it should be entered as a separate line item with a note in comments clearly clarifying the relationship between bond and wrap/protection/insurance/guarantee. If the wrap/protection/insurance/guarantee cannot be disaggregated from the bond, then the composite information should be entered as one line item with a note in comments providing as much detail as possible in terms of the data fields captured (e.g. RWA are reduced by £x due to the guarantee by y on z% of losses attributed to this bond). Own originated securitisations are only capitalised under CRR Chapter 5, if they have achieved Significant Risk Transfer. If this is the case, the retained tranches will be entered on the Securitisation Positions tab and all tranches will be entered on the Significant Risk Transfer tab. Should the own originated securitisation not have achieved Significant Risk Transfer, then it will be capitalised in line with the underlying asset class and not be part of the Securitisation Positions data submission. Impairment provisions should be provided if a specific asset has had a provision taken against it. Stock impairments should be provided on the historical template under the field Impairment Provision, incremental impairments should be provided in the projections template under Impairment Charge. ‘Impairment Provision’ is mandatory if 'Accounting Designation' is selected as 'Financial assets at amortised cost' or 'Financial assets at fair value through other comprehensive income'. For exposures held at other accounting classifications IFRS9 stage should be reported as No stage classification. All unique IDs reported in Q4 reporting should be reported in Year 0 data in the Structured_finance tab in Capital and other projections.

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 -