Enumeration | Definition |
---|---|
Covered bonds | As per the PRA handbook: (1) (in accordance with Article 52(4) of the UCITS Directive and except for the purposes of the IRB approach or the standardised approach to credit risk) a bond that is issued by a credit institution which has its registered office in an EEA State and is subject by law to special public supervision designed to protect bondholders and in particular protection under which sums deriving from the issue of the bond must be invested in conformity with the law in assets which, during the whole period of validity of the bond, are capable of covering claims attaching to the bond and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest. (2) In accordance with point 68 of Part 1 of Annex VI of the Banking Consolidation Directive (Exposures in the form of covered bonds) and for the purposes of the IRB approach or the standardised approach to credit risk, a covered bond as defined in (1) collateralised in accordance with CRR Article 129. (3) As defined in Regulation 1(2) of the RCB Regulations, a bond in relation to which the claims attaching to that bond are guaranteed to be paid by an owner from an asset pool it owns. (4) In accordance with Article 22(4) of the Third Non-Life Directive and Article 24(4) of the Consolidated Life Directive and for the purposes of INSPRU 2.1) a debenture that is issued by a credit institution which: (a) has its head office in an EEA State; (b) is subject by law to official supervision designed to protect the holders of the debenture; in particular, sums deriving from the issue of the debenture must be invested in accordance with the law in assets which, during the whole period of validity of the debenture, are capable of covering claims attaching to the debenture and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest. |
Securitisation positions | This context captures exposures to third-party cash or synthetic securitisations held in both the non-trading and trading books, including liquidity lines for securitisation transactions and exposures to own-originated securitisations which have achieved significant risk transfer (SRT). This context excludes securitisations issued or guaranteed by international organisations, multilateral development banks, governments; exposures capitalised under Value-at-Risk; 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; on derivatives and liquidity facilities which assume exposure to securitisations, but not on derivatives which provide market risk hedges to securitisations. Wrapped protection, where applicable, should also be provided. If the wrap/protection/insurance/guarantee (WPIG) 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 WPIG. If the WPIG 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. Own originated securitisations are only capitalised under CRR Chapter 5, if they have achieved SRT. If this is the case, the retained tranches will be entered on the Securitisation Positions tab and all tranches will be entered on the SRT tab. If the opposite is true, please do not include. |