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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 ‘AFS’ or ‘Fair value’ should include ‘Market value movements’. All positions where 'Accounting designation' is selected as 'AFS', 'Held-to-maturity' or 'Loans and receivables' should include Impairment charge where applicable. All positions where 'Accounting designation' is selected as 'Held-to-Maturity' or 'Loans and receivables' should include Expected loss.
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.
Order |
Field Name |
Enumeration |
Definition |
1 |
Structured finance asset class |
StructuredFinanceAssetClass |
A classification of the principal types of structured finance instruments. |
2 |
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. |
3 |
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. |
4 |
Book type |
BookType |
The book used for accounting purposes. This indicates whether the book is a trading or a non-trading book. |
5 |
Scenario |
Scenario |
Identifies the scenario. |
6 |
Projection period |
Projectionperiod |
The period to which the associated projections relate. |
7 |
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. |
8 |
Impairment charge |
|
Amount of impairment taken in the time period specified. This should be the impairment charge recorded in the firms' P&L. In the 'Risk Measures by Portfolio' projections submission for retail/wholesale credit risk, this refers to the forecasted P&L impairment charge under Baseline and Annual cyclical scenario and / or Exploratory scenario (as relevant). Impairment charge is typically expressed as a positive number (i.e. a loss is represented by a positive figure). For year 0 in the Structured_finance projections tab, please report the stock position, in every other subsequent projection period please report the flow during that year. |
9 |
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. |
10 |
Market value movement |
|
The incremental change in market value during the specified projection year (not the cumulative market value movements over the life of the relevant scenario). Losses should be recorded as a negative number, gains as a positive number. |
11 |
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. |
12 |
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. For both actuals and projections this value is the total balance of the AFS reserve at any point in time, not the incremental change in reserve. |