Stress Test Data Framework Dictionary 2021: Version 02

202101 StructuredFinance

This template captures exposures to covered bonds, cash or synthetic securitisations held in either the non-trading or trading books. Securitisations of a firm’s balance sheet assets (own originated) are excluded from the calculation of risk-weighted exposure amounts and expected loss amounts under CRR Part Three Title II 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. For assets where 'Accounting Designation' is selected as 'Financial assets at amortised cost' or 'Financial assets at fair value through other comprehensive income' the template requires inclusion of impairment provisions, expected loss (regulatory) and RWAs. For assets where (1) the Book Type is shown as ‘Trading’, and for assets where (2) the Book Type is shown as ‘Non-Trading’ and the Accounting Designation is shown as ‘Fair Value’, i.e. non-trading financial assets mandatorily at fair value through profit and loss, the template requires inclusion of expected loss (regulatory) and RWA projections.

202101 StructuredFinance [Actuals]

Order TableName Header Offset First Line Of Data
01 Comments 3 4
02 Securitisation_positions 3 4
03 Covered_bonds 3 4
04 Significant_risk_transfer 3 4