Stress Test Data Framework Dictionary 2021: 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. All unique IDs reported in Q4 reporting should be reported in Year 0 data in the Structured_finance tab in Capital and other projections. ‘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 StructuredFinance

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Unique ID String (255 long) UniqueID Yes Yes
2 Organisational unit level 1 String (255 long) Organisationalunitlevel1 - -
3 Organisational unit level 2 String (255 long) Organisationalunitlevel2 - -
4 Organisational unit level 3 String (255 long) Organisationalunitlevel3 - -
5 Country of origin of covered bond String (255 long) CountryofExposure CountryofOriginofCoveredBond Yes -
6 Structured finance asset class String (255 long) Coveredbondassetclass Structuredfinanceassetclass Yes -
7 Cover pool asset type String (255 long) CoverPoolAssetType Coverpoolassettype - -
8 ISIN String (255 long) ISIN - -
9 Description of covered bond Comment (2000 long) DescriptionofCoveredBond - -
10 Book type String (255 long) BookType BookType Yes -
11 Currency of instrument String (255 long) Currency CurrencyofInstrument Yes -
12 CRD compliant String (255 long) Boolean CRDcompliant Yes -
13 IFRS9 stage String (255 long) IFRS9stage IFRS9stage Yes -
14 Current notional Float CurrentNotional Yes -
15 Regulatory carry value Float RegulatoryCarryValue 0.0000 Inclusive Yes -
16 Clean market value Float CleanMarketValue - -
17 Accounting designation String (255 long) AccountingDesignation AccountingDesignation Yes -
18 Impairment provision Float Impairmentprovision 0.0000 Inclusive - -
19 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
20 Expected credit loss at initial recognition Float ECLatinitialrecognition - -
21 OCI reserve balance Float OCIreservebalance - -
22 Capital requirement calculation approach String (255 long) CapitalRequirementCalculationApproachCoveredBond CapitalRequirementCalculationApproachCoveredBond Yes -
23 RWA Float RWA 0.0000 Inclusive Yes -
24 Covered bond senior unsecured issuer rating String (255 long) Externalcreditrating Externalcreditrating - -
25 External credit rating String (255 long) Externalcreditrating Externalcreditrating - -
26 Current overcollateralisation Float CurrentOvercollateralisation - -
27 Cover pool LTV band less than 60% Float CoverpoolLTVbandlessthan60 0.0000 Inclusive - -
28 Cover pool LTV band greater than or equal to 60% and less than 80% Float CoverPoolLTVBand60to80 0.0000 Inclusive - -
29 Cover pool LTV band greater than or equal to 80% and less than 100% Float CoverPoolLTVBand80to100 0.0000 Inclusive - -
30 Cover pool LTV band greater than or equal to 100% Float CoverpoolLTVbandgreaterthanorequalto100 0.0000 Inclusive - -
31 Cover pool arrears band 1d to 90d Float Coverpoolarrearsband1dto90d 0.0000 Inclusive - -
32 Cover pool arrears band 91d to 180d Float Coverpoolarrearsband91dto180d 0.0000 Inclusive - -
33 Cover pool arrears band 180+d Float Coverpoolarrearsband180d 0.0000 Inclusive - -