Stress Test Data Framework Dictionary 2021: Version 02

Structured_finance

This worksheet captures the output of stress-testing of securitisation positions and covered bonds. Figures entered in annual projections should be on a periodic basis rather than cumulative. All positions should include RWA projections. All positions where the ‘Accounting designation’ is selected as ‘Financial assets designated at fair value through profit or loss’ or ‘Non-trading financial assets mandatorily at fair value through profit or loss’ should include ‘Market value movements’. The Unique ID field is intended to map the projections to the line items in the quarterly historical data submission for securitisation positions and covered bonds. It should be noted that firms projections provided to the PRA for the purposes of stress testing should not include prepayment, divestment, or new investment unless specifically agreed beforehand. If any prepayment, divestment, or reinvestment is applied to firms’ projections then details of the vectors assumed should be provided in either the comments tab or in the unstructured data provided. ‘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.

202101 CapitalAndOtherProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Structured finance asset class String (255 long) StructuredFinanceAssetClass Structuredfinanceassetclass Yes -
2 Unique ID String (255 long) UniqueID Yes Yes
3 Accounting designation String (255 long) AccountingDesignation AccountingDesignation Yes -
4 Book type String (255 long) BookType BookType Yes -
5 External credit rating String (255 long) ExternalcreditratingCQS ExternalcreditratingCQS Yes -
6 Scenario String (255 long) ScenarioACS Scenario Yes Yes
7 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
8 IFRS9 stage String (255 long) IFRS9stage IFRS9stage Yes -
9 RWA Float RWA 0.0000 Inclusive Yes -
10 Impairment charge Float ImpairmentCharge Yes -
11 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
12 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
13 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive Yes -
14 Market value movement Float Marketvaluemovement Yes -
15 Regulatory carry value Float RegulatoryCarryValue 0.0000 Inclusive Yes -
16 OCI reserve balance Float OCIreservebalance - -
17 Attachment point of tranche Float Attachmentpointoftranche 0.0000 1.0000 Inclusive Yes -
18 Detachment point of tranche Float Detachmentpointoftranche 0.0000 1.0000 Inclusive Yes -
19 Defaulted exposures ratio Float Defaultedexposuresratio 0.0000 Inclusive Yes -
20 Underlying capital charge Float Underlyingcapitalcharge 0.0000 Inclusive - -