Stress Test Data Framework Dictionary 2017: Version 02

Significant_risk_transfer

This worksheet captures each tranche from each transaction which has qualified for Significant Risk Transfer (SRT). However, if a firm has sold all of a given tranche, please enter zero in the fields: Firm’s Exposure to Tranche, Firm’s Risk Weighted Exposure to Tranche, and Firm’s Capital Deduction Relating to Tranche.

201702 StructuredFinance

Order Field Name Enumeration Definition
1 Transaction name and series Transaction name and series which has achieved SRT. For transactions post-2011, this should correspond with the name of deal found on the submission to the SRT inbox for consideration of capital relief under the Significant Risk Transfer regime.
2 Tranche Tranche of the transaction which has achieved SRT.
3 Securitised asset class The asset type(s) of the reference portfolio of the transaction. If the reference portfolio contains mixed asset types, this should be declared and any significant concentrations disclosed.
4 Currency of tranche originated Currency Currency in which the tranche was originated.
5 Country of origin of securitised exposures CountryofExposure The country of residence of the obligors representing the largest geographic concentration of the securitised exposures. The definition should be consistent with that used for the purposes of the geographical breakdown of exposures in COREP. In line with COREP, should no country exceed a 20% concentration then 'other' may be entered. Other notable concentrations should be clarified within the comments.
6 Tranche coupon index and premium Details of the coupon paid by the individual tranche (e.g. 1mLIBOR + 200bps; or 200bps Fixed).
7 Current notional of tranche originated Current notional (original notional * factor) of the tranche in units of the reporting currency. The minimum number is 0 and there is no maximum.
8 Pre securitisation total reference portfolio exposure The underlying reference portfolio current exposure as if securitisation had not occurred.
9 Pre securitisation total reference portfolio risk weighted exposure The underlying reference portfolio current risk-weighted exposure (RWA) as if securitisation had not occurred.
10 Total reference portfolio underlying expected loss regulatory The current expected loss relating to the underlying reference portfolio.
11 Total reference portfolio underlying unexpected loss regulatory The current unexpected loss relating to the underlying reference portfolio.
12 Firms exposure to tranche Current notional (original notional * factor) of the tranche which the firm is currently exposed to at a group level.
13 Firms risk weighted exposure to tranche Current risk weighted exposure (RWA) of the tranche which the firm is currently exposed to at a group level.
14 Firms capital deduction relating to tranche Current capital deduction associated with the tranche at a group level.
15 External credit rating Externalcreditrating An EBA-defined credit rating scale whose purpose is to map the major credit rating agency credit ratings to one common scale. See http://www.eba.europa.eu/documents/10180/1370122/EBA-ITS-2016-02+%28Final+draft+ITS+on+ECAI+mapping+for+securitisation+positions%29.pdf/2607075f-f1ff-4f73-9231-8a901694b433.