Stress Test Data Framework Dictionary 2017: Version 02

Covered_bonds

This worksheet captures exposures to third-party covered bonds held in either of the non-trading and trading books that are risk weighted as per CRR Articles 120, 121 or 129, but excludes any firm originated covered bonds, covered bonds capitalised under VaR, and derivatives related to eligible assets that are not capitalised under CRR Articles 120, 121 or 129. ‘Impairment Provision’ is only to be populated if 'Accounting Designation' is selected as 'AFS', 'Held-to-Maturity' or 'Loans & Receivables'.

201702 StructuredFinance

Order Field Name Enumeration Definition
1 Unique ID An internal identifier that a submitting firm uses to uniquely identify a instrument within a firm’s IT system. In structured finance data, this identifier will be used to match the instrument data in the historical data submission to the same instrument in the projections data submission.
2 Organisational unit level 1 Please enter the highest logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
3 Organisational unit level 2 Please enter the second logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
4 Organisational unit level 3 Please enter the third (if applicable) logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
5 Country of origin of covered bond CountryofExposure The jurisdiction under whose legislation the covered bond was originated.
6 Structured finance asset class Coveredbondassetclass A classification of the principal types of structured finance instruments.
7 Cover pool asset type CoverPoolAssetType A classification of the assets in the cover pool. If there are two types of asset (excluding cash) found in the cover pool, then mixed asset pool should be selected. Asset types should be selected with consideration to Article 129. For reporting SME exposures in cover pools, include exposures to corporates with an annual turnover below £25m and also retail SME exposures. Cash is allowed in mono asset pools.
8 ISIN International Securities Identification Number, or equivalent (e.g. CUSIP), of instrument issued. For a bespoke or index transaction (securitised position), 'NA' could be entered here.
9 Description of covered bond A brief description of the instrument, including details of the programme and issuer.
10 Book type BookType The book used for accounting purposes. This indicates whether the book is a trading or a non-trading book.
11 Currency of instrument Currency Currency of the instrument.
12 CRD compliant Boolean An indication of whether a covered bond is CRD compliant. The compliance is in relation to both CRD III and CRD IV.
13 Current notional For securitisation positions, the current notional (original notional * factor) of the line item held in units of the reporting currency. This is gross of impairment, or market value decline. Short positions (e.g. purchases of protection) should be entered as a negative value. For covered bonds, the notional number of bonds held by the firm. This is also gross of impairment, or market value decline. Short positions (e.g. purchases of protection) should be entered as a negative value. For fully undrawn facilities this value should be zero.
14 Regulatory carry value The recorded value of the securitisation or covered bond instrument for regulatory purposes. The minimum value is zero, there is no maximum. The regulatory carry value of short positions should be recorded as an absolute number and the 'position type' field and sign of the current notional on the actuals template used to indicate long or short. Values should be gross of any impairment provision (RCV does not reduce as impairments are taken). In the structured finance templates, for assets under the fair value accounting designation, regulatory carry value should be net of market value movements, for assets under the AFS accounting designation regulatory carry value should be net of the AFS reserve balance (RCV reduces as market value losses are taken). Simplified Examples:Impact of impairments – for a 10m bond purchased at par and held under the Loans and Receivables accounting designation, which is subsequently impaired by 2m, the RCV should be recorded as approximately 10m.Impact of market value movements – for a 10m bond purchased at par and held under the AFS accounting designation, which subsequently sees a 2m decline in market value, the AFS Reserve is expected to be approximately +2m and the RCV recorded as approximately 8m.
15 Clean market value The market valuation of the line item, not including accrued interest, in the units of the reporting currency. Synthetic positions should have their market value expressed as if funded rather than unfunded. For example, a sale of 10mm protection which is 1mm out of the money is reported as 9mm; the same example but 1mm in the money is reported as 11mm. Conversely, with a purchase of protection that would be reported as -10mm notional, it is -11mm market value when 1mm out of the money, and -9mm market value when 1mm in the money.
16 Accounting designation AccountingDesignation The accounting method under which the value of the item is recorded in the firm's financial statements. Trading book exposures should use 'fair value'. Non-trading book exposures may use any value of accounting designation if appropriate.
17 Impairment provision To be completed only if 'Accounting Designation' is selected as 'AFS', 'Held-to-Maturity' or 'Loans & Receivables'. If any specific impairments or value adjustments have been attached to this position (securitisation positions, covered bonds), and that have been taken through P&L, they should be specified here as a positive number. The minimum for this field is 0, and the maximum is the greater of the absolute of the book value and the current notional. The impairments which offset RWAs under either the IRB approach or under the Standardised Approach should have been taken as a charge to P&L. For the avoidance of doubt this is a stock measure (total, not incremental).
18 Expected loss regulatory Expected Loss (credit risk) is the Basel regulatory expected loss, as estimated for exposure where capital requirements are calculated under the IRB approach, as per CRR Article 158. For standardised exposures, expected loss should not be reported. For securitisation positions and covered bonds, this is the expected loss of the instrument, net of any impairments that have already been taken through P&L. For the projections template this should be the expected loss over the entire economic life of the asset as measured at the end of the projection year, not the change in expected loss during that year. Losses should be recorded as a positive number in the structured finance data submissions.
19 Available-for-sale reserve balance Reserve on unrealised gains or losses from revaluation of available-for-sale assets. Losses should be reflected by a positive number, and gains by a negative number. On both the actuals and projections templates this value is the total balance of the AFS reserve at any point in time, not the incremental change in reserve.
20 Capital requirement calculation approach CapitalRequirementCalculationApproach_CoveredBond Refers to the approach used (as per CRR Chapter 5) for calculating capital requirements. For covered bonds, this is the approach used for the purposes of capital calculation.
21 RWA Risk Weighted Exposure Amount. For credit risk, see CRR Article 113 for the calculation of risk weighted exposure amounts under the standardised approach and Articles 153-157 for the calculation under the IRB approach. The RWA reported should correspond to COREP Item 220 (Template C 07.00) for Standardised and Item 260 (Template C 08.01) for IRB portfolios. For securitisation positions, risk weighted exposure amount is as per the capital calculation methodology. This has a minimum of zero and a maximum of 12.5 times the regulatory carry value. If a firm has deducted the asset from capital, this field should be entered as 12.5 times the capital deduction. In instances where trading book RWAs have been calculated in accordance with CRR Article 337(4), please provide the RWAs against each individual position as if the RWA had been calculated in accordance with Article 337(3.2) and state in the comments whether it is the long or short positions driving trading book RWAs. For structured finance data, if the asset is a hedge (short) on the trading book as described in CRR Article 346, the relevant reduction in risk weighted exposure should be applied and annotated accordingly in comments, clearly defining which of the three hedging treatments is being claimed.
22 Covered bond senior unsecured issuer rating Externalcreditrating The generic external credit rating of the senior unsecured debt issuance of the issuer.
23 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.
24 Current overcollateralisation The percentage, expressed as a positive decimal value, of assets valued by the relevant national valuation metric posted in the excess of the issued liabilities (valued by the relevant national valuation metric).Example: For a bond with a face value of 100 and posted collateral of 120, current overcollateralisation should be entered as 0.2.
25 Cover pool LTV band less than 60% The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band <60%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond.
26 Cover pool LTV band greater than or equal to 60% and less than 80% The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=60% to <80%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond.
27 Cover pool LTV band greater than or equal to 80% and less than 100% The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=80% to <100%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond.
28 Cover pool LTV band greater than or equal to 100% The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=100%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond.
29 Cover pool arrears band 1d to 90d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 1d to 90d.
30 Cover pool arrears band 91d to 180d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 91d to 180d.
31 Cover pool arrears band 180+d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 180+d.