Stress Test Data Framework Dictionary 2017: 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 have not achieved Significant Risk Transfer, then it will be capitalised in line with the underlying asset class and not be p

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 underlyings CountryofExposure The country of residence of the obligors representing the largest geographic concentration in the underlying pool. 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 Structured finance asset class Securitisationpositionsassetclass A classification of the principal types of structured finance instruments.
7 Securitisation positions product type Securitisationpositionsproducttype A classification scheme for securitisation products.
8 Securitisation positions sub product type Securitisationpositionssubproducttype A sub-classification of securitisation products.
9 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.
10 Description of instrument A brief description of the instrument, preferably in line with market convention 'ISSUER Vintage-Series Tranche'. Long names of the issuer are also acceptable up to a maximum of 200 characters.
11 Interest mechanism InterestMechanism An indication of whether an instrument pays fixed rate interest or floating rate interest. Zero interest is considered fixed rate. For floating coupons subject to a cap or floor that is currently triggered, please select fixed.
12 Structured finance position type Structuredfinancepositiontype A classification of the characteristics or nature of a securitisation position. The securitisation will fall into one of the categories in the specified enumeration, determined by whether it is a cash or synthetic exposure, whether the position is long or short, and whether the position is a liquidity facility or not.
13 Attachment point of tranche The attachment point represents the threshold at which credit losses in the underlying pool would first be allocated to the position. This input, which is a decimal value between zero and one, equals the greater of zero and the ratio of the outstanding balance of the pool of underlying exposures in the securitisation minus the outstanding balance of all tranches that rank senior or pari passu to the tranche containing the relevant securitisation position (including the position itself) to the outstanding balance of all the underlying exposures in the securitisation. For further information, see PACRR Article 256 or Basel d374. In the event of untranched securities an attachment point of 0 should be entered. For liquidity facilities the attachment point should be the detachment point of the most senior tranche that is junior to the liquidity facility minus any drawn amount expressed as a percentage of all the underlying exposures in the securitisation.
14 Detachment point of tranche The detachment point represents the threshold at which credit losses in the underlying pool results in a total loss of principal for the tranche containing the relevant securitisation position. This input, which is a decimal value between zero and one, equals the greater of zero and the ratio of the outstanding balance of the pool of underlying exposures in the securitisation minus the outstanding balance of all tranches that rank senior to the tranche containing the relevant securitisation position to the outstanding balance of all the underlying exposures in the securitisation. For further information, see PACRR Article 256 or Basel d374. In the event of untranched securities a detachment point of 1 should be entered. For liquidity facilities the detachment point should be the detachment point of the most senior tranche that is junior to the liquidity facility.
15 Weighted average life The weighted average time to receipt of the expected principal payments (or in the case of derivatives, reduction in notional) of the portfolio throughout its entire economic life. Weighted average life should consider all principal cash flows of the portfolio until full repayment.
16 Book type BookType The book used for accounting purposes. This indicates whether the book is a trading or a non-trading book.
17 Currency of instrument Currency Currency of the instrument.
18 Resecuritisation Boolean A statement of whether the position is a resecuritisation, defined in the PRA Handbook Glossary as: a securitisation where the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitisation position.
19 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.
20 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.
21 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.
22 Quoted margin The fixed amount above or below the bond’s reference rate ignoring any caps or floors used to calculate the coupon payments, for a fixed rate bond the equivalent reference rate would be zero at all times.
23 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.
24 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).
25 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.
26 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.
27 Capital requirement calculation approach CapitalRequirementCalculationApproach_SecuritisationPositions 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.
28 IRB RWA category IRBRWACategory The internal ratings based category, A to E, as defined in CRR Article 259. Categories A to C relate to securitisation positions; A is applied to the most senior tranche of a securitisation, C where the effective number of exposures securitised is less than six, if not the securitisation is classed as category B. Categories D and E are used for resecuritisation positions. Category E must be applied unless the resecuritisation position is in the most senior tranche of the resecuritisation and none of the underlying exposures were themselves resecuritisation exposures, in which case category D must be applied.
29 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.
30 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.