Order |
Field Name |
Enumeration |
Definition |
1 |
Credit risk type |
Creditrisktype |
A classification of credit risk used within the stress test data collection. |
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 exposure |
CountryofExposure |
The country of residence of the obligor on an ultimate risk basis. The definition should be consistent with that used for the purposes of the 'geographical breakdown of exposures by residence of the obligor' in COREP (C 09.01 and C 09.02). When the exposure is to an international corporate body and therefore cannot be attributed to a specific country, the SUPRA continental enumerations should be used. Continental totals provided should only be used in projections templates when no specific country can be identified, they should not be used in actuals templates. |
6 |
Asset class |
AssetClass_Projections |
A defined grouping of assets typically of similar characteristics. An asset is any property, right, entitlement or interest. |
7 |
Product type |
ProductTypesforRetailSME |
A grouping of financial products which are available to bank customers and are regarded as having common attributes, characteristics, qualities or traits. |
8 |
Security |
Security |
The collateral the loan is backed by, e.g. asset finance. |
9 |
Basel approach |
BaselApproach |
Refers to the methods of calculating the credit risk capital component as set out in CRR Part 3 Title II Chapters 2&3. |
10 |
Default status |
DefaultStatus |
The status of assets with respect to default as defined in CRR Articles 127 and 178 (default) and assets which don’t fall under the definitions referred to in CRR Articles 127 and 178 (not in default). |
11 |
Scenario |
Scenario |
Identifies the scenario. |
12 |
Projection period |
Projectionperiod |
The period to which the associated projections relate. |
13 |
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. |
14 |
Loss at write off |
|
Balance written off net of recoveries for the period. This is the amount written off mortgage / loan balances in the quarter (and off provisions charged to the income and expenditure account) and is to be on a basis consistent with amounts shown in the firm's published accounts as 'written off' within the analysis of changes in loss provision usually appearing as notes to the accounts. |
15 |
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. |
16 |
Drawn balance |
|
Amount of a loan drawn by a borrower on a specified date. Balances should be reconcilable to the statutory accounts and regulatory returns. Loan balances should be entered net of write-offs and gross of Provisions. Balances should be gross of any off-set balances, i.e. the actual outstanding principal amount owed. This measure has to be consistent with the amount that can be calculated from the COREP templates CR IRB 1 and CR SA. In particular: a) For IRB Exposures: the amount should be reconcilable with the difference between EXPOSURE VALUE and EXPOSURE VALUE - OF WHICH: OFF BALANCE SHEET ITEMS ({c110} - {c120}).b) For standardised exposures, this amount should be reconcilable with the difference between FULLY ADJUSTED EXPOSURE VALUE (E*) and OFF BALANCE SHEET ITEMS ({c150} - {c160} - {c170} - {c180} - {c190}). |
17 |
Exposure for RWA |
|
The exposure amount that forms the basis for the calculation of RWA. For assets under the standardised approach this is as defined in CRR Article 111. For assets under the IRB approach this is as defined in CRR Part 3 Title II Chapter 3 Section 5. This corresponds to the amount included in COREP templates: a) for standardised exposures, in template "CR SA" at column 200. Defaulted assets must be reallocated to the original asset class and reported in the respective asset class breakdown where credit rating = 'in default'. b) for IRB exposures, in template "CR IRB 1" at column 110. |
18 |
PD regulatory |
|
Average PD for a set of assets weighted by the EAD of each. This is the regulatory PD used to calculate capital requirements. As per PRA Handbook Glossary, the PD is (in accordance with Article 4(25) of the Banking Consolidation Directive (definitions)) the probability of default of counterparty over a one year period. For the purposes of the IRB approach, this could be TTC or some form of hybrid PD. Firms should clarify the nature of PD provided as part of the unstructured data submission. Valid values for this measure are >=0 and <=1. The PD to be reported is the exposure-weighted average (the exposure to use is the same amount collected under the measure 'exposure' in this template). |
19 |
LGD regulatory |
|
Average LGD (as specified in CRR Articles 161 and 164) for a set of assets weighted by the EAD of each. Valid values for this measure are >=0. For default exposures expected loss best estimate LGD should be reported, as specified in CRR Article 153(1)(ii)The LGD to be reported is a weighted average, where the weight is given by the product Exposure * PD with both of these being the measures reported in the corresponding columns of this template (see also par. 65, first bullet point, p.23 of EBA's "2016 EU wide stress test-methodological note" http://www.eba.europa.eu/documents/10180/1259315/2016+EU-wide+stress+test-Methodological+note.pdf). |
20 |
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. |
21 |
Provisions balance |
|
The sum of ‘collective provisions’ (as defined in the STDF dictionary) and ‘individual provisions’ (as defined in the STDF dictionary) where ‘individual provisions’ is the sum of ‘Individual provisions fraud’ and ‘Individual provisions non fraud’ on the retail template. |