Stress Test Data Framework Dictionary 2021: 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.

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 Transaction name and series String (255 long) Transactionnameandseries Yes Yes
3 Tranche String (255 long) Tranche Yes Yes
4 Securitised asset class String (255 long) SecuritisedAssetClass Yes Yes
5 Currency of tranche originated String (255 long) Currency CurrencyofTrancheOriginated Yes Yes
6 Country of origin of securitised exposures String (255 long) CountryofExposure CountryofOriginofSecuritisedExposures Yes Yes
7 Tranche coupon index and premium String (255 long) Tranchecouponindexandpremium - -
8 Current notional of tranche originated Float CurrentNotionalofTrancheOriginated Yes -
9 Pre securitisation total reference portfolio exposure Float Presecuritisationtotalreferenceportfolioexposure - -
10 Pre securitisation total reference portfolio risk weighted exposure Float Presecuritisationtotalreferenceportfolioriskweightedexposure - -
11 Total reference portfolio underlying expected loss regulatory Float Totalreferenceportfoliounderlyingexpectedlossregulatory - -
12 Total reference portfolio underlying unexpected loss regulatory Float Totalreferenceportfoliounderlyingunexpectedlossregulatory - -
13 Firms exposure to tranche Float FirmsExposuretoTranche Yes -
14 Firms risk weighted exposure to tranche Float FirmsRiskWeightedExposuretoTranche Yes -
15 Firms capital deduction relating to tranche Float FirmsCapitalDeductionrelatingtoTranche - -
16 External credit rating String (255 long) ExternalcreditratingCQS ExternalcreditratingCQS Yes Yes