Stress Test Data Framework Dictionary 2017: Version 02

Definitions

Definition Name Definition Field Name
AccountingBalance The amount of a balance sheet item as defined by statutory accounting standards as of end of the period under consideration. e.g. the carrying amount of an asset as per IAS 36 or fair value of revenue as per IAS 18. [BalanceSheetProjections][ALM_balance_sheet][Accounting balance]
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. [CapitalAndOtherProjections][Structured_finance][Accounting designation]
[StructuredFinance][Covered_bonds][Accounting designation]
[StructuredFinance][Securitisation_positions][Accounting designation]
AccountingParameter An assumption used in the derivation of the IAS19 liabilities. [CapitalAndOtherProjections][Pensions_parameters][Accounting parameter]
AccountingParameterValue The value of the associated 'accounting parameter' expressed as a decimal. [CapitalAndOtherProjections][Pensions_parameters][Accounting parameter value]
AFSReserveBalance 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. [CapitalAndOtherProjections][Structured_finance][Available-for-sale reserve balance]
ALMassetliabilityclass A low-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [BalanceSheetProjections][ALM_balance_sheet][ALM asset liability class]
ALMassetliabilityclassheader A mid-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [BalanceSheetProjections][ALM_balance_sheet][ALM asset liability class header]
ALMinterestrateofferperiod The period for which the interest rate of the product was contractually fixed at origination. [BalanceSheetProjections][ALM_balance_sheet][ALM interest rate offer period]
ALMinterestratesensitivity The sensitivity of the pricing of deposits to changes in external interest rates. [BalanceSheetProjections][ALM_balance_sheet][ALM interest rate sensitivity]
ALMLTVband A loan-to-value band. The value reported should be based on the indexed loan-to-value at the reporting date. New business should be based on LTV at origination. As a simplifying assumption the LTV band for legacy products should then be assumed to remain constant until maturity. [BalanceSheetProjections][ALM_balance_sheet][ALM LTV band]
ALMproducttype A classification of products used for ALM balance sheet purposes. [BalanceSheetProjections][ALM_balance_sheet][ALM product type]
ALMreferencerate A sub-category of reference rate type which specifies the reference rate used to price balance sheet and off-balance sheet items. [BalanceSheetProjections][ALM_balance_sheet][ALM reference rate]
ArrearsBandbyMIA A banding of retail mortgage accounts by the number of months an account is in arrears. [RetailMortgageCredit][LTV_arrears_MIA][Arrears band by MIA]
ArrearsBandbyPIA A banding of retail mortgage accounts by the percentage of the amount due that has not been received by the specified date. [RetailMortgageCredit][LTV_arrears_PIA][Arrears band by PIA]
ArrearsBandMixed A grouping of retail mortgage accounts that represent all accounts in arrears, or only those accounts that exceed a lower bound for months in arrears or percentage in arrears. [RetailMortgageCredit][Vintage_analysis][Arrears band mixed]
AssetClass A defined grouping of assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [CapitalAndOtherProjections][Comments][Asset class]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Asset class]
Assetliabilityclassretailcards A classification of assets or liabilities used in a 'cards' context. [BalanceSheetProjections][Cards_other_income][Asset liability class retail cards]
Assetliabilityclassretailotherincome A classification of assets or liabilities used in an 'other income' context. [BalanceSheetProjections][Other_income_details][Asset liability class retail other income]
AssetReconciliationAmount A monetary amount associated with an asset reconciliation Item. [CapitalAndOtherProjections][Pensions_assets_recon][Asset reconciliation amount]
AssetReconciliationItem A classification of items in the reconciliation of movements in assets in a pension scheme in accordance with IAS19 paragraphs 140 - 141. [CapitalAndOtherProjections][Pensions_assets_recon][Asset reconciliation item]
Attachmentpointoftranche The attachment point represents the threshold at which credit losses in the underlying pool would first be allocated to the position. This input, which is a decimal value between zero and one, equals the greater of zero and the ratio of the outstanding balance of the pool of underlying exposures in the securitisation minus the outstanding balance of all tranches that rank senior or pari passu to the tranche containing the relevant securitisation position (including the position itself) to the outstanding balance of all the underlying exposures in the securitisation. For further information, see PACRR Article 256 or Basel d374. In the event of untranched securities an attachment point of 0 should be entered. For liquidity facilities the attachment point should be the detachment point of the most senior tranche that is junior to the liquidity facility minus any drawn amount expressed as a percentage of all the underlying exposures in the securitisation. [StructuredFinance][Securitisation_positions][Attachment point of tranche]
Availableforsalereservebalance 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. On both the actuals and projections templates this value is the total balance of the AFS reserve at any point in time, not the incremental change in reserve. [StructuredFinance][Covered_bonds][Available-for-sale reserve balance]
[StructuredFinance][Securitisation_positions][Available-for-sale reserve balance]
AverageBalance The average volume of the item over the time interval of interest calculation. [BalanceSheetProjections][ALM_balance_sheet][Average balance]
Averagerecoveryrate,realisedsalepriceas%ofmarketvaluation The average recovery rate calculated as the realised the total sale price as a percentage of market valuation of the properties sold during the period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Average recovery rate, realised sale price as % of market valuation]
Balance Refers to drawn balance but typically used in combination with other terms. For example, balance up-to-date refers to the portion of an exposures' drawn balance that is not in arrears. It could also refer to the value of a balance sheet or P&L item. This can also be used in the context of a balance sheet item; this is used to capture the balance sheet position. [CapitalAndOtherProjections][Capital_resources][Balance]
[CapitalAndOtherProjections][Capital_results_summary][Balance]
[CapitalAndOtherProjections][EL-P_reconciliation][Balance]
[CapitalAndOtherProjections][Leverage][Balance]
[CapitalAndOtherProjections][Maximum_distributable_amount][Balance]
[CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Balance]
[InsuranceProjections][Insurance_capital][Balance]
Balanceatbeginningofperiod Balance at the beginning of the period. [BalanceSheetProjections][Market_volumes_UK_only][Balance at beginning of period]
Balanceatendofperiod Balance at the end of the period. [BalanceSheetProjections][Market_volumes_UK_only][Balance at end of period]
BalanceChargedOff Total amount of loan charged off during the specified month, where relevant, e.g. early recognition of future expected losses through the partial write-down of mortgage exposures. [RetailMortgageCredit][Trended_other][Balance charged off]
Balanceofdelinquentloansgreaterthan6MIA The balance of loans greater than 6 months in arrears. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of delinquent loans greater than 6 MIA]
Balanceofnewdelinquentloansthatbecamegreaterthan6MIAinperiod Irrespective of how loans are classified as ‘delinquent’ by individual firms, this number is intended to capture the balance of loans that became greater than 6 months in arrears in the stated period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of new delinquent loans that became greater than 6 MIA in period]
Balanceofnewrepossessionsinperiod The value of the flow of new repossessions in the period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of new repossessions in period]
BalanceofPropertiesInPossession The balance of the properties that are in possession as of the end of the period under consideration (stock). [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of properties in possession]
BalanceSheetCurrency The currency in which the balances are held. The scope of currencies to be reported is firm specific and needs to be agreed as part of the scoping discussions. [BalanceSheetProjections][ALM_balance_sheet][Balance sheet currency]
BalanceSheetHeader_ALM A high-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [BalanceSheetProjections][ALM_balance_sheet][Balance sheet header]
Balancesheetitemmarketvolumelevel1 Balance Sheet header level 1 as per FINREP in the market volumes UK context. [BalanceSheetProjections][Market_volumes_UK_only][Balance sheet item market volume level 1]
Balancesheetitemmarketvolumelevel2 Balance Sheet header level 2 as per FINREP in the market volumes UK context. [BalanceSheetProjections][Market_volumes_UK_only][Balance sheet item market volume level 2]
Balancesheetitemmarketvolumelevel3 Balance Sheet header level 3 as per FINREP in the market volumes UK context. [BalanceSheetProjections][Market_volumes_UK_only][Balance sheet item market volume level 3]
BalanceweightedaverageindexedLTV The average LTV for a given set of loans, weighted by each loan’s drawn balance. [RetailMortgageCredit][Trended_other][Balance weighted average indexed LTV]
Balanceweightedaverageinterestrate The average interest rate for a set of retail mortgage products weighted by the drawn balance of each account. It should ignore the effect of any interest rate swaps or other hedging contracts that might exist, and also ignore the effect of any offsetting deposit account (as for example in the case of an offset mortgage). The weighted average rate should be derived as follows: (i) identify the various nominal/quoted interest rates that apply to elements of the portfolio; then (ii) for each separate nominal/quoted rate, multiply that rate by the amount of end quarter balances (excluding accrued interest) for which that rate applies; and (iii) add up the results of (ii) for all the different rates for this portfolio; and (iv) divide the total calculated in (iii) by the corresponding end quarter balance in column 1, 2 or 3 less accrued interest. [RetailMortgageCredit][LTV_repayment][Balance weighted average interest rate]
BaselApproach Refers to the methods of calculating the credit risk capital component as set out in CRR Part 3 Title II Chapters 2&3. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Basel approach]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Basel approach]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Basel approach]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Basel approach]
[RetailExcludingMortgageCredit][RWA][Basel approach]
[RetailMortgageCredit][RWA][Basel approach]
BenefitPayments The value of benefit payments out of the scheme. [PensionsRisk][Pensions_cash_flow][Benefit payments]
BookType The book used for accounting purposes. This indicates whether the book is a trading or a non-trading book. [CapitalAndOtherProjections][Structured_finance][Book type]
[StructuredFinance][Covered_bonds][Book type]
[StructuredFinance][Securitisation_positions][Book type]
CallDate The date on which an instrument can be redeemed before maturity. If there is no call date for the instrument, please leave unpopulated. [CapitalAndOtherProjections][Capital_instruments][Call date]
CapitalRequirementCalculationApproach_CoveredBond Refers to the approach used (as per CRR Chapter 5) for calculating capital requirements. For covered bonds, this is the approach used for the purposes of capital calculation. [StructuredFinance][Covered_bonds][Capital requirement calculation approach]
CapitalRequirementCalculationApproach_SecuritisationPositions Refers to the approach used (as per CRR Chapter 5) for calculating capital requirements. For covered bonds, this is the approach used for the purposes of capital calculation. [StructuredFinance][Securitisation_positions][Capital requirement calculation approach]
Capitalrequirementitemlevel1 A heading for the breakdown by type of risk of capital requirements. [CapitalAndOtherProjections][Capital_requirements][Capital requirement item level 1]
Capitalrequirementitemlevel2 A lower level heading for the breakdown of capital requirements. [CapitalAndOtherProjections][Capital_requirements][Capital requirement item level 2]
Capitalresourceitemlevel1 A high-level heading for capital resources. [CapitalAndOtherProjections][Capital_resources][Capital resource item level 1]
Capitalresourceitemlevel2 A mid-level heading for capital resources. [CapitalAndOtherProjections][Capital_resources][Capital resource item level 2]
Capitalresourceitemlevel3 A low-level heading for capital resources. [CapitalAndOtherProjections][Capital_resources][Capital resource item level 3]
Capitalresourceorrequirementitem This refers to capital resource or capital requirement as per Solvency II or other local regulatory reporting basis (if entity is not required to report on Solvency II basis). [InsuranceProjections][Comments][Capital resource or requirement item]
[InsuranceProjections][Insurance_capital][Capital resource or requirement item]
Capitalresultssummaryitem A heading or entry in the summary of projected capital amounts. [CapitalAndOtherProjections][Capital_results_summary][Capital results summary item]
Cardproducttype A classification of card products. [BalanceSheetProjections][Cards_other_income][Card product type]
CarryingAmount The amount attributable to the balance sheet / P&L. [BalanceSheetProjections][Profit_or_loss_business_line][Carrying amount]
[BalanceSheetProjections][Profit_or_loss_group_only][Carrying amount]
[CapitalAndOtherProjections][Pensions_balance_sheet][Carrying amount]
CCRriskweightcalculationmethod A method or approach used to calculate risk weights for bilateral counterparties or to calculate risk weights for CCP default fund exposures (for those firms that include CCP default fund contributions in their counterparty credit risk). [CounterpartycreditriskRWA][CCR_RWAs][CCR risk weight calculation method]
CleanMarketValue The market valuation of the line item, not including accrued interest, in the units of the reporting currency. Synthetic positions should have their market value expressed as if funded rather than unfunded. For example, a sale of 10mm protection which is 1mm out of the money is reported as 9mm; the same example but 1mm in the money is reported as 11mm. Conversely, with a purchase of protection that would be reported as -10mm notional, it is -11mm market value when 1mm out of the money, and -9mm market value when 1mm in the money. [StructuredFinance][Covered_bonds][Clean market value]
[StructuredFinance][Securitisation_positions][Clean market value]
Collectiveallowancesforincurredbutnotreportedlosses Applies to retail actuals only. This should be equal to FINREP (section 4.4) ‘collective allowances for incurred but not reported losses’ [IAS 39 AG 84-92; Annex V.Part 2.38]. [RetailExcludingMortgageCredit][Trended_collective_provisions][Collective allowances for incurred but not reported losses]
[RetailMortgageCredit][Trended_collective_provisions][Collective allowances for incurred but not reported losses]
CollectiveProvisions As per FINREP (section 4.4), the sum of ‘specific allowances for collectively assessed financial assets’ [IAS 39 AG 84-92; Annex V.Part 2.37] and ‘collective allowances for incurred but not reported losses’ [IAS 39 AG 84-92; Annex V.Part 2.38]. [CorporateSovereignFinInstCreditRisk][Provisions][Collective provisions]
Comment The comment made by the firm in relate to the rule or context of the respective template. [BalanceSheetProjections][Comments][Comment]
[CapitalAndOtherProjections][Comments][Comment]
[CorporateSovereignFinInstCreditRisk][Comments][Comment]
[CounterpartycreditriskRWA][Comments][Comment]
[InsuranceProjections][Comments][Comment]
[MarketriskandCVARWA][Comments][Comment]
[OperationalRisk][Comments][Comment]
[PensionsRisk][Comments][Comment]
[RetailExcludingMortgageCredit][Comments][Comment]
[RetailMortgageCredit][Comments][Comment]
[StructuredFinance][Comments][Comment]
CommittedLimit Maximum amount that can be drawn by a borrower as on a specified date. Committed limits should be completed to reflect redraw and / or further credit line facilities. If there is no pre-agreed facility, populate the limit with the drawn balance. [CorporateSovereignFinInstCreditRisk][Large_exposures][Committed Limit]
[RetailMortgageCredit][LTV_repayment][Committed limit]
CompanieshouseID Companies House company registration number (CRN). [CorporateSovereignFinInstCreditRisk][Large_exposures][Companies house ID]
Context The sheet name within the STDF template of which the data item is being referenced. [BalanceSheetProjections][Comments][Context]
[CapitalAndOtherProjections][Comments][Context]
[CorporateSovereignFinInstCreditRisk][Comments][Context]
[CounterpartycreditriskRWA][Comments][Context]
[MarketriskandCVARWA][Comments][Context]
[OperationalRisk][Comments][Context]
[PensionsRisk][Comments][Context]
[Reconciliations][STDF_data_item_references][Context]
[RetailExcludingMortgageCredit][Comments][Context]
[RetailMortgageCredit][Comments][Context]
[StructuredFinance][Comments][Context]
ControlType Source: A data item from the STDF data item reference. Reconciling item: Reasons for difference between source(s) and target(s). Firms must describe all reconciling differences with meaningful and justifiable descriptions. Target: An STDF or external target. [Reconciliations][External_reconciliations][Control type]
[Reconciliations][Internal_reconciliations][Control type]
Costofaccrualfundingbasis The estimated total cost of accrual for the scheme on the funding basis at the reporting date, expressed as a proportion of the pensionable payroll. In line with the typical convention for trustees’ valuations, this should be expressed as the cost including member contributions. [PensionsRisk][Pensions_parameters][Cost of accrual funding basis]
CostofaccrualIASbasis The cost of accruing benefits in the scheme on an IAS basis, expressed as an average proportion of pensionable pay. When multiplied by the pensionable payroll for the year, this should provide an estimate of the service cost for the coming year. In line with the typical convention for accounting statements, this should be expressed as the cost to the company (i.e. not including member contributions). [PensionsRisk][Pensions_parameters][Cost of accrual IAS basis]
Counterpartycreditrisktype A classification of exposures used for a breakdown of counterpart credit risk RWA and Expected Loss figures. Exposures are reported as the sum of legal netting sets containing one of the specified exposure types. Securities financing transactions are considered to be: repurchase transactions; securities or commodities lending or borrowing transactions; margin lending transactions. [CounterpartycreditriskRWA][CCR_RWAs][Counterparty credit risk type]
[CounterpartycreditriskRWA][Comments][Counterparty credit risk type]
CounterpartyName The name of any person or an entity to which the firm is exposed to credit risk or the risk of loss if that person fails to meet its obligations. [CorporateSovereignFinInstCreditRisk][Large_exposures][Counterparty name]
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. [BalanceSheetProjections][Cards_other_income][Country of exposure]
[BalanceSheetProjections][Comments][Country of exposure]
[BalanceSheetProjections][Other_expense_details][Country of exposure]
[BalanceSheetProjections][Other_income_details][Country of exposure]
[BalanceSheetProjections][Profit_or_loss_business_line][Country of exposure]
[CapitalAndOtherProjections][Comments][Country of exposure]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Country of exposure]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Comments][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Provisions][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Country of exposure]
[CounterpartycreditriskRWA][CCR_RWAs][Country of exposure]
[CounterpartycreditriskRWA][Comments][Country of exposure]
[RetailExcludingMortgageCredit][Comments][Country of exposure]
[RetailExcludingMortgageCredit][RWA][Country of exposure]
[RetailExcludingMortgageCredit][Trended_arrears][Country of exposure]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Country of exposure]
[RetailExcludingMortgageCredit][Trended_other][Country of exposure]
[RetailMortgageCredit][Arrears][Country of exposure]
[RetailMortgageCredit][Comments][Country of exposure]
[RetailMortgageCredit][LTV_arrears_MIA][Country of exposure]
[RetailMortgageCredit][LTV_arrears_PIA][Country of exposure]
[RetailMortgageCredit][LTV_repayment][Country of exposure]
[RetailMortgageCredit][Repossessions][Country of exposure]
[RetailMortgageCredit][RWA][Country of exposure]
[RetailMortgageCredit][Sales][Country of exposure]
[RetailMortgageCredit][Trended_arrears][Country of exposure]
[RetailMortgageCredit][Trended_collective_provisions][Country of exposure]
[RetailMortgageCredit][Trended_other][Country of exposure]
[RetailMortgageCredit][Vintage_analysis][Country of exposure]
CountryofOriginofCoveredBond The jurisdiction under whose legislation the covered bond was originated. [StructuredFinance][Covered_bonds][Country of origin of covered bond]
CountryofOriginofSecuritisedExposures The country of residence of the obligors representing the largest geographic concentration of the securitised exposures. The definition should be consistent with that used for the purposes of the geographical breakdown of exposures in COREP. In line with COREP, should no country exceed a 20% concentration then 'other' may be entered. Other notable concentrations should be clarified within the comments. [StructuredFinance][Significant_risk_transfer][Country of origin of securitised exposures]
CountryofOriginofUnderlyings The country of residence of the obligors representing the largest geographic concentration in the underlying pool. The definition should be consistent with that used for the purposes of the geographical breakdown of exposures in COREP. In line with COREP, should no country exceed a 20% concentration then 'other' may be entered. Other notable concentrations should be clarified within the comments. [StructuredFinance][Securitisation_positions][Country of origin of underlyings]
CountryWhereLossOccurred The country in which the majority of the operational risk loss occurred. [OperationalRisk][Operational_loss_details][Country where loss occurred]
Coveredbondseniorunsecuredissuerrating The generic external credit rating of the senior unsecured debt issuance of the issuer. [StructuredFinance][Covered_bonds][Covered bond senior unsecured issuer rating]
Coverpoolarrearsband180+d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 180+d. [StructuredFinance][Covered_bonds][Cover pool arrears band 180+d]
Coverpoolarrearsband1dto90d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 1d to 90d. [StructuredFinance][Covered_bonds][Cover pool arrears band 1d to 90d]
Coverpoolarrearsband91dto180d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 91d to 180d. [StructuredFinance][Covered_bonds][Cover pool arrears band 91d to 180d]
Coverpoolassettype A classification of the assets in the cover pool. If there are two types of asset (excluding cash) found in the cover pool, then mixed asset pool should be selected. Asset types should be selected with consideration to Article 129. For reporting SME exposures in cover pools, include exposures to corporates with an annual turnover below £25m and also retail SME exposures. Cash is allowed in mono asset pools. [StructuredFinance][Covered_bonds][Cover pool asset type]
CoverPoolLTVBand60to80 The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=60% to <80%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band greater than or equal to 60% and less than 80%]
CoverPoolLTVBand80to100 The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=80% to <100%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band greater than or equal to 80% and less than 100%]
CoverpoolLTVbandgreaterthanorequalto100% The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=100%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band greater than or equal to 100%]
CoverpoolLTVbandlessthan60% The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band <60%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band less than 60%]
CPIInflationfundingbasis The assumed rate of future inflation (measured according to the consumer price index (CPI)) used to calculate figures for liability values on the 'Pensions_funding' tab. [PensionsRisk][Pensions_parameters][CPI Inflation funding basis]
CRDcompliant An indication of whether a covered bond is CRD compliant. The compliance is in relation to both CRD III and CRD IV. [StructuredFinance][Covered_bonds][CRD compliant]
CREdevelopmenttype The nature of a commercial real estate development. [CorporateSovereignFinInstCreditRisk][UK_CRE][CRE development type]
Creditratingscalename A descriptive name given to a firm credit rating scheme. [CorporateSovereignFinInstCreditRisk][Large_exposures][Credit rating scale name]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Credit rating scale name]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Credit rating scale name]
[RetailExcludingMortgageCredit][RWA][Credit rating scale name]
[RetailMortgageCredit][RWA][Credit rating scale name]
Creditrisktype A classification of credit risk used within the stress test data collection. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Credit risk type]
CREsecurity An indication of the priority in the event of default. A lender with a first legal charge over a property has a first call on any funds available from the sale of the property. [CorporateSovereignFinInstCreditRisk][UK_CRE][CRE security]
Currency The currency in which the balances are held. The scope of currencies to be reported is firm specific and needs to be agreed as part of the scoping discussions. [BalanceSheetProjections][ALM_metrics][Currency]
CurrencyofInstrument Currency of the instrument. [StructuredFinance][Covered_bonds][Currency of instrument]
[StructuredFinance][Securitisation_positions][Currency of instrument]
CurrencyofTrancheOriginated Currency in which the tranche was originated. [StructuredFinance][Significant_risk_transfer][Currency of tranche originated]
CurrentarrearsbandbyMIA Current banding of exposures by their months in arrears. This could be required for both the current period e.g. June 2012 or for a previous period e.g. May 2012. [RetailExcludingMortgageCredit][Trended_arrears][Current arrears band by MIA]
[RetailMortgageCredit][Trended_arrears][Current arrears band by MIA]
CurrentNotional For securitisation positions, the current notional (original notional * factor) of the line item held in units of the reporting currency. This is gross of impairment, or market value decline. Short positions (e.g. purchases of protection) should be entered as a negative value. For covered bonds, the notional number of bonds held by the firm. This is also gross of impairment, or market value decline. Short positions (e.g. purchases of protection) should be entered as a negative value. For fully undrawn facilities this value should be zero. [StructuredFinance][Covered_bonds][Current notional]
[StructuredFinance][Securitisation_positions][Current notional]
CurrentNotionalofTrancheOriginated Current notional (original notional * factor) of the tranche in units of the reporting currency. The minimum number is 0 and there is no maximum. [StructuredFinance][Significant_risk_transfer][Current notional of tranche originated]
CurrentOvercollateralisation The percentage, expressed as a positive decimal value, of assets valued by the relevant national valuation metric posted in the excess of the issued liabilities (valued by the relevant national valuation metric).Example: For a bond with a face value of 100 and posted collateral of 120, current overcollateralisation should be entered as 0.2. [StructuredFinance][Covered_bonds][Current overcollateralisation]
DateLogged The date on which an operational risk event was first recorded into the firm's operational loss data system (if available). [OperationalRisk][Operational_loss_details][Date logged]
DateofFinancialImpact The date when the operational loss was first recognised in the profit or loss. [OperationalRisk][Operational_loss_details][Date of financial impact]
DateofOccurrence The date on which an operational risk event occurred or commenced. [OperationalRisk][Operational_loss_details][Date of occurrence]
Dateoforigination The date the loan was originated. [CorporateSovereignFinInstCreditRisk][UK_CRE][Date of origination]
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). [CapitalAndOtherProjections][Risk_measures_by_portfolio][Default status]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Default status]
[CorporateSovereignFinInstCreditRisk][Provisions][Default status]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Default status]
Defaultstatusandexpectedlossorprovision A combination of default status and an indicator of expected loss or provisions. [CapitalAndOtherProjections][EL-P_reconciliation][Default status and expected loss or provision]
Description A meaningful and justifiable description of the data item / control type reference. [Reconciliations][External_data_item_references][Description]
[Reconciliations][External_reconciliations][Description]
[Reconciliations][Internal_reconciliations][Description]
DescriptionofCoveredBond A brief description of the instrument, including details of the programme and issuer. [StructuredFinance][Covered_bonds][Description of covered bond]
DescriptionofInstrument A brief description of the instrument, preferably in line with market convention 'ISSUER Vintage-Series Tranche'. Long names of the issuer are also acceptable up to a maximum of 200 characters. [StructuredFinance][Securitisation_positions][Description of instrument]
Detachmentpointoftranche The detachment point represents the threshold at which credit losses in the underlying pool results in a total loss of principal for the tranche containing the relevant securitisation position. This input, which is a decimal value between zero and one, equals the greater of zero and the ratio of the outstanding balance of the pool of underlying exposures in the securitisation minus the outstanding balance of all tranches that rank senior to the tranche containing the relevant securitisation position to the outstanding balance of all the underlying exposures in the securitisation. For further information, see PACRR Article 256 or Basel d374. In the event of untranched securities a detachment point of 1 should be entered. For liquidity facilities the detachment point should be the detachment point of the most senior tranche that is junior to the liquidity facility. [StructuredFinance][Securitisation_positions][Detachment point of tranche]
Dimension The filters used to define specifically which sets of data each reconciliation rule is relevant to. [Reconciliations][STDF_data_item_references][Dimension]
Discountratefundingbasis The discount rate used to calculate values on the 'Pensions_funding' tab, based on the statement of funding principles and market conditions at the valuation date. If the trustees use separate ‘pre’ and ‘post’ discount rates, or a full yield curve approach, please estimate a single representative rate. The main use is for the PRA to estimate the margin over gilts in the trustees’ discount rate. [PensionsRisk][Pensions_parameters][Discount rate funding basis]
DrawnBalance 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}). [CapitalAndOtherProjections][Risk_measures_by_portfolio][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Provisions][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Drawn balance]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Drawn balance]
[RetailExcludingMortgageCredit][RWA][Drawn balance]
[RetailExcludingMortgageCredit][Trended_arrears][Drawn balance]
[RetailExcludingMortgageCredit][Trended_other][Drawn balance]
[RetailMortgageCredit][LTV_arrears_MIA][Drawn balance]
[RetailMortgageCredit][LTV_arrears_PIA][Drawn balance]
[RetailMortgageCredit][LTV_repayment][Drawn balance]
[RetailMortgageCredit][RWA][Drawn balance]
[RetailMortgageCredit][Trended_arrears][Drawn balance]
[RetailMortgageCredit][Trended_other][Drawn balance]
[RetailMortgageCredit][Vintage_analysis][Drawn balance]
EADcalculationmethodology The methodology or approach used to calculate regulatory EAD. If there is material use of different EAD calculation methodologies, this breakdown should be provided. For example, If most of the derivative portfolio is covered by IMM, then use IMM as the EAD Calculation Methodology. [CounterpartycreditriskRWA][CCR_RWAs][EAD calculation methodology]
Employercontributionsordinary The value of ordinary contributions made by employers to pension scheme in a specified year. [PensionsRisk][Pensions_cash_flow][Employer contributions ordinary]
Employercontributionsspecialordeficityear0 The value of special or deficit contributions made by employers to pension scheme in Year 0 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 0]
Employercontributionsspecialordeficityear1 The value of special or deficit contributions made by employers to pension scheme in Year 1 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 1]
Employercontributionsspecialordeficityear2 The value of special or deficit contributions made by employers to pension scheme in Year 2 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 2]
Employercontributionsspecialordeficityear3 The value of special or deficit contributions made by employers to pension scheme in Year 3 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 3]
Employercontributionsspecialordeficityear4 The value of special or deficit contributions made by employers to pension scheme in Year 4 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 4]
Employercontributionsspecialordeficityear5 The value of special or deficit contributions made by employers to pension scheme in Year 5 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 5]
Eventdescription A description of an operational risk event that resulted in a loss. [OperationalRisk][Operational_loss_details][Event description]
Eventtypelevel1 An Operational Risk event category as defined in CRR Article 324. [OperationalRisk][Operational_loss_details][Event type level 1]
Eventtypelevel2 An operational risk event type (level 2) as defined in Annex 9 of Basel II Accord (BCBS, Basel II: International convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version (June 2006)). [OperationalRisk][Operational_loss_details][Event type level 2]
Expectedlossregulatory 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Expected loss regulatory]
[CapitalAndOtherProjections][Structured_finance][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Expected loss regulatory]
[CounterpartycreditriskRWA][CCR_RWAs][Expected loss regulatory]
[RetailExcludingMortgageCredit][RWA][Expected loss regulatory]
[RetailMortgageCredit][RWA][Expected loss regulatory]
[StructuredFinance][Covered_bonds][Expected loss regulatory]
[StructuredFinance][Securitisation_positions][Expected loss regulatory]
Expense The amount of expense related to a specified type of expense. [BalanceSheetProjections][Other_expense_details][Expense]
Exposureforimpairments The non-defaulted exposure after substitution effects and post credit conversion factor (CCF). This exposure measure is the starting point for the impairment calculation. Defaulted assets are reported separately:- For IRB portfolios, banks should use the definition of column 110 (‘exposure value’) as per COREP table CR IRB 1. For STA portfolios, banks need to calculate a post CCF equivalent of column 110 (net exposure after CRM substitution effects pre-conversion factors) as per COREP table CR SA. Since provisions have already been deducted (column 30 in CR SA), they need to be added to the exposure. Defaulted assets must be reallocated to the original asset class and reported in the respective asset class breakdown where credit rating = 'in default'. [CorporateSovereignFinInstCreditRisk][Provisions][Exposure for impairments]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Exposure for impairments]
ExposureforRWA 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Exposure for RWA]
[RetailExcludingMortgageCredit][RWA][Exposure for RWA]
[RetailMortgageCredit][RWA][Exposure for RWA]
ExposurevaluegrossofunilateralaccountingCVA An exposure value - as per Article 273 - the sum of netting sets according to counterparty credit risk types gross of unilateral accounting CVA, i.e. the output from the regulatory exposure method. [CounterpartycreditriskRWA][CCR_RWAs][Exposure value gross of unilateral accounting CVA]
ExposurevaluenetofunilateralaccountingCVA An exposure value - as per Article 273 - the sum of netting sets according to counterparty credit risk types net of unilateral accounting CVA, i.e. the exposure value used to calculate RWA. Note that CCP default fund exposure value should be the actual or projected default fund contributions. [CounterpartycreditriskRWA][CCR_RWAs][Exposure value net of unilateral accounting CVA]
ExposureWeightedMaturity The weighted average maturity of exposures to a specified counterparty. This should be stated in years to 1 decimal place. The remaining actual maturity for the exposures to the counterparty are the input for this measure. [CorporateSovereignFinInstCreditRisk][Large_exposures][Exposure weighted maturity]
ExposureWeightedVintage The exposure-weighted vintage of the counterparty. It should be expressed in ‘years’ with 2 decimal places rounding up to the nearest 0.25 (for every 3 months). [CorporateSovereignFinInstCreditRisk][Large_exposures][Exposure weighted vintage]
Externalcreditrating An EBA-defined credit rating scale whose purpose is to map the major credit rating agency credit ratings to one common scale. See http://www.eba.europa.eu/documents/10180/1370122/EBA-ITS-2016-02+%28Final+draft+ITS+on+ECAI+mapping+for+securitisation+positions%29.pdf/2607075f-f1ff-4f73-9231-8a901694b433. [CorporateSovereignFinInstCreditRisk][Large_exposures][External credit rating]
[StructuredFinance][Covered_bonds][External credit rating]
[StructuredFinance][Securitisation_positions][External credit rating]
[StructuredFinance][Significant_risk_transfer][External credit rating]
FirmsCapitalDeductionrelatingtoTranche Current capital deduction associated with the tranche at a group level. [StructuredFinance][Significant_risk_transfer][Firms capital deduction relating to tranche]
FirmsExposuretoTranche Current notional (original notional * factor) of the tranche which the firm is currently exposed to at a group level. [StructuredFinance][Significant_risk_transfer][Firms exposure to tranche]
FirmsRiskWeightedExposuretoTranche Current risk weighted exposure (RWA) of the tranche which the firm is currently exposed to at a group level. [StructuredFinance][Significant_risk_transfer][Firms risk weighted exposure to tranche]
Forborne Please use the EBA definition of forbearance (ITS/2013/03) which can be broadly para phrased as: Forbearance is defined as occurring when concessions are made towards a debtor facing or about to face financial difficulties. Those concessions may be temporary or permanent. A forborne exposure can be performing or non-performing and not all non-performing exposures will be forborne. Concessions are modifications of the terms and conditions of the contract and/or total or partial refinancing that would not have been granted had the debtor not been in financial difficulties. Exposures would normally be assessed as forborne when one or more of the following apply (a) where concessions are made for non-performing exposures; (b) total or partial cancellation through write-off has occurred; (c) the exposure is more than 30 days past-due Discontinuation of forbearance classification is only permitted after a probation period of 2 years; and only if the exposure is performing and the debtor has demonstrated its capacity to repay. [CorporateSovereignFinInstCreditRisk][Large_exposures][Forborne]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Forborne]
Grossnewbusiness Projected new business (loans, deposits, etc.) expected for a specified a period. [BalanceSheetProjections][Market_volumes_UK_only][Gross new business]
GrossNewVolume Gross volume of new business written between period ends. Rolling and switching balances should be reported gross. [BalanceSheetProjections][ALM_balance_sheet][Gross new volume]
GrossOperationalLoss The sum of all profit or loss impacts related to an operational risk event before recoveries of any type. Losses must be recorded as a positive number, gains as a negative number. [OperationalRisk][Operational_loss_details][Gross operational loss]
GrossOperationalLossNetofDirectRecoveries The gross loss less the direct recoveries. A recovery is an independent occurrence, separate in time from the original event, in which funds are recovered or contributed, usually from or by a third party. Recoveries may be direct or indirect. An indirect recovery is generally an insurance recovery. A direct recovery is any payment (other than an indirect recovery) received by the bank which offsets the loss. [OperationalRisk][Operational_loss_details][Gross operational loss net of direct recoveries]
Historicalperiodmonth A time series of dates/months for which a historical set of data is to be provided. [RetailExcludingMortgageCredit][Trended_arrears][Historical period month]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Historical period month]
[RetailExcludingMortgageCredit][Trended_other][Historical period month]
[RetailMortgageCredit][Trended_arrears][Historical period month]
[RetailMortgageCredit][Trended_collective_provisions][Historical period month]
[RetailMortgageCredit][Trended_other][Historical period month]
Historicalperiodmonthorquarter Historical reporting month or quarter. [RetailExcludingMortgageCredit][Comments][Historical period month or quarter]
[RetailMortgageCredit][Comments][Historical period month or quarter]
Historicalperiodquarter A time series of dates/quarters for which a historical set of data is to be provided. [RetailMortgageCredit][Arrears][Historical period quarter]
[RetailMortgageCredit][Repossessions][Historical period quarter]
[RetailMortgageCredit][Sales][Historical period quarter]
Historicalperiodyear A time series of dates/years for which a historical set of data is to be provided. [RetailExcludingMortgageCredit][Comments][Historical period year]
[RetailExcludingMortgageCredit][Trended_arrears][Historical period year]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Historical period year]
[RetailExcludingMortgageCredit][Trended_other][Historical period year]
[RetailMortgageCredit][Arrears][Historical period year]
[RetailMortgageCredit][Comments][Historical period year]
[RetailMortgageCredit][Repossessions][Historical period year]
[RetailMortgageCredit][Sales][Historical period year]
[RetailMortgageCredit][Trended_arrears][Historical period year]
[RetailMortgageCredit][Trended_collective_provisions][Historical period year]
[RetailMortgageCredit][Trended_other][Historical period year]
Impactamount A profit or loss figure or a risk weighted assets figure that represents the impact of a management action proposed by the submitting firm. If the impact is profit or loss related (e.g. profit after tax), then the impact should be a year-on-year number. If the impact relates to risk weighted assets or other capital resources / instruments, a cumulative number should be stated. [CapitalAndOtherProjections][Stress_case_management_actions][Impact amount]
ImpactedItem A balance sheet or profit or loss item that has been impacted by a management action. [CapitalAndOtherProjections][Stress_case_management_actions][Impacted item]
ImpactType The nature of the impact of a management action in regard to the balance sheet or P&L item that has been impacted. [CapitalAndOtherProjections][Stress_case_management_actions][Impact type]
ImpairmentCharge 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Impairment charge]
[CapitalAndOtherProjections][Structured_finance][Impairment charge]
[RetailExcludingMortgageCredit][Trended_other][Impairment charge]
[RetailMortgageCredit][Trended_other][Impairment charge]
Impairmentchargeorotherloss A monetary amount indicating an impairment charge or other loss. [CapitalAndOtherProjections][Impairments_and_other_losses][Impairment charge or other loss]
Impairmentprovision To be completed only if 'Accounting Designation' is selected as 'AFS', 'Held-to-Maturity' or 'Loans & Receivables'. If any specific impairments or value adjustments have been attached to this position (securitisation positions, covered bonds), and that have been taken through P&L, they should be specified here as a positive number. The minimum for this field is 0, and the maximum is the greater of the absolute of the book value and the current notional. The impairments which offset RWAs under either the IRB approach or under the Standardised Approach should have been taken as a charge to P&L. For the avoidance of doubt this is a stock measure (total, not incremental). [StructuredFinance][Covered_bonds][Impairment provision]
[StructuredFinance][Securitisation_positions][Impairment provision]
Impairmentsorotherlosslevel1 A heading for the breakdown by type of risk of impairment charge and other losses taken through profit or loss. [CapitalAndOtherProjections][Impairments_and_other_losses][Impairments or other loss level 1]
Impairmentsorotherlosslevel2 A lower level heading for the breakdown of impairment charge and other losses taken through profit or loss. [CapitalAndOtherProjections][Impairments_and_other_losses][Impairments or other loss level 2]
Income An income amount for a particular income stream. For gains or (-) losses on financial assets and liabilities held for trading this could be negative to indicate a loss. [BalanceSheetProjections][Other_income_details][Income]
Incomeofwhichmarketrisk The total amount of income due to market movements including all market risks. Applicable only to 'gains or (-) losses on financial assets and liabilities held for trading'. A negative value indicates a loss. Fees and commissions must be excluded. [BalanceSheetProjections][Other_income_details][Income of which market risk]
IndexedLTVBand The indexed loan to value at the reporting date. New business should be classified by LTV at origination. As a simplifying assumption the LTV banding for legacy products should then be assumed to remain constant until maturity. This only applies to CRE exposures. [CorporateSovereignFinInstCreditRisk][Risk_measures][LTV band]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Indexed LTV band]
IndividualProvisions As per FINREP (section 4.4) ‘Specific allowances for individually assessed financial assets’ [IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36]. [CorporateSovereignFinInstCreditRisk][Large_exposures][Individual provisions]
[CorporateSovereignFinInstCreditRisk][Provisions][Individual provisions]
Individualprovisionsfraud As per FINREP (section 4.4) ‘Specific allowances for individually assessed financial assets’ [IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36] that pertain to fraud. [RetailExcludingMortgageCredit][Trended_other][Individual provisions fraud]
[RetailMortgageCredit][Trended_other][Individual provisions fraud]
Individualprovisionsnonfraud As per FINREP (section 4.4) ‘Specific allowances for individually assessed financial assets’ [IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36] that do not pertain to fraud. [RetailExcludingMortgageCredit][Trended_other][Individual provisions non fraud]
[RetailMortgageCredit][Trended_other][Individual provisions non fraud]
Industrialclassification A classification scheme for industry sector. The permitted values are the sector headings from the UK 2007 Standard Industrial Classification (SIC). [CorporateSovereignFinInstCreditRisk][Comments][Industrial classification]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Industrial classification]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Industrial classification]
Instrument A descriptive name of a non-core capital instrument that the firm is currently holding on the balance sheet. [CapitalAndOtherProjections][Capital_instruments][Instrument]
Insurancetype Identifies whether life insurance or general insurance is being reported. [InsuranceProjections][Comments][Insurance type]
[InsuranceProjections][Insurance_capital][Insurance type]
Interestbasis An indication of the interest rate basis and the hedging of the exposure. [CorporateSovereignFinInstCreditRisk][UK_CRE][Interest basis]
InterestCoverRatio Ratio of net rental income over interest expense. Net rental income is the rental income received from the property rather than any income received for other services but excluding costs such as agency fees or maintenance. Where there is cross-collateralisation, consider the net rental income and interest expense for all properties secured against the loan. This data item is primarily relevant for CRE investment properties. It may also be relevant for CRE development properties where part of it is generating rent. If weighting is required at a portfolio level, use EAD or DB (if EAD is not available). Do not report for non CRE exposures. [CorporateSovereignFinInstCreditRisk][UK_CRE][Interest cover ratio]
InterestExpense As per FINREP tab 2.0 row ID 90. [BalanceSheetProjections][ALM_balance_sheet][Interest expense]
InterestIncome As per FINREP tab 2.0 row ID 010. [BalanceSheetProjections][ALM_balance_sheet][Interest income]
InterestMechanism An indication of whether an instrument pays fixed rate interest or floating rate interest. Zero interest is considered fixed rate. For floating coupons subject to a cap or floor that is currently triggered, please select fixed. [StructuredFinance][Securitisation_positions][Interest mechanism]
Internalcreditrating A value selected from a defined credit rating scale in a given credit rating scheme. Examples of credit rating schemes may include: Moody’s ratings, FSA Grade ratings, firm's internal ratings, etc. Firms should provide credit ratings from regulatory approved models, where available. [CorporateSovereignFinInstCreditRisk][Large_exposures][Internal credit rating]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Internal credit rating]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Internal credit rating]
[RetailExcludingMortgageCredit][RWA][Internal credit rating]
[RetailMortgageCredit][RWA][Internal credit rating]
IRBRWACategory The internal ratings based category, A to E, as defined in CRR Article 259. Categories A to C relate to securitisation positions; A is applied to the most senior tranche of a securitisation, C where the effective number of exposures securitised is less than six, if not the securitisation is classed as category B. Categories D and E are used for resecuritisation positions. Category E must be applied unless the resecuritisation position is in the most senior tranche of the resecuritisation and none of the underlying exposures were themselves resecuritisation exposures, in which case category D must be applied. [StructuredFinance][Securitisation_positions][IRB RWA category]
ISIN International Securities Identification Number, or equivalent (e.g. CUSIP), of instrument issued. For a bespoke or index transaction (securitised position), 'NA' could be entered here. [CapitalAndOtherProjections][Capital_instruments][ISIN]
[StructuredFinance][Covered_bonds][ISIN]
[StructuredFinance][Securitisation_positions][ISIN]
Issuancedate The date on which a capital instrument is issued. [CapitalAndOtherProjections][Capital_instruments][Issuance date]
Issuecurrency The currency in which the capital instrument is issued. [CapitalAndOtherProjections][Capital_instruments][Issue currency]
Issuer The name of an issuer of a non-core capital instrument that the firm is currently holding on the balance sheet. [CapitalAndOtherProjections][Capital_instruments][Issuer]
LegalEntity The name of the primary legal entity (unconsolidated) where the operational risk loss occurred. [OperationalRisk][Operational_loss_details][Legal entity]
Legalentityidentifier The Legal Entity Identifier (LEI) is a 20-character, alpha-numeric code, to uniquely identify legally distinct entities that engage in financial transactions. [CorporateSovereignFinInstCreditRisk][Large_exposures][Legal entity identifier]
LeverageItem A heading in the breakdown of leverage figures. [CapitalAndOtherProjections][Leverage][Leverage item]
LGDregulatory 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). [CapitalAndOtherProjections][Risk_measures_by_portfolio][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][Large_exposures][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][Risk_measures][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE][LGD regulatory]
[RetailExcludingMortgageCredit][RWA][LGD regulatory]
[RetailMortgageCredit][RWA][LGD regulatory]
LiabilityReconciliationAmount A monetary amount associated with a liability reconciliation Item. [CapitalAndOtherProjections][Pensions_liabilities_recon][Liability reconciliation amount]
LiabilityReconciliationItem A classification of items in the reconciliation of movements in liabilities in a pension scheme, in accordance with IAS19 paragraphs 140 - 141. [CapitalAndOtherProjections][Pensions_liabilities_recon][Liability reconciliation item]
LIBORSwapCurve The LIBOR-based currency swap curve for which the interest rate projections are provided. [BalanceSheetProjections][ALM_interest_rates][LIBOR swap curve]
LoantoendvalueforCREdevelopmentloans The loan to value of the completed property (the end value) for commercial real estate developments. [CorporateSovereignFinInstCreditRisk][UK_CRE][Loan to end value for CRE development loans]
Locationofproperty Primarily these are regions of the United Kingdom as defined by the first level Nomenclature of Territorial Units for Statistics (NUTS) regions ("NUTS 1 regions") within the European Union. The Non UK option should be used for all properties that are not located within the UK. [CorporateSovereignFinInstCreditRisk][UK_CRE][Location of property]
LossatWriteOff 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Loss at write off]
[RetailExcludingMortgageCredit][Trended_other][Loss at write off]
[RetailMortgageCredit][Trended_other][Loss at write off]
LTVatorigination Loan to value ratio at origination of the loan (loan to value of the property). [CorporateSovereignFinInstCreditRisk][UK_CRE][LTV at origination]
Managementactiondescription A description of the management action proposed by the submitting firm. [CapitalAndOtherProjections][Stress_case_management_actions][Management action description]
Managementactionnumber A unique identifier of a management action specified by the submitting firm. [CapitalAndOtherProjections][Stress_case_management_actions][Management action number]
Marketgrowthrateassumption The annual market growth rate assumption underlying new lending (gross) projections at the beginning of a period. [BalanceSheetProjections][Market_volumes_UK_only][Market growth rate assumption]
Marketriskcapitalrequirementlevel1 A classification of traded risk used to capture capital requirements related to market risk and credit valuation adjustment. [MarketriskandCVARWA][Comments][Market risk capital requirement level 1]
[MarketriskandCVARWA][Traded_risk_capital_requirement][Market risk capital requirement level 1]
Marketriskcapitalrequirementlevel2 A breakdown of market risk and CVA RWA (capital requirements level 1) into components that specify the approach or method used for the capital requirements calculation. [MarketriskandCVARWA][Traded_risk_capital_requirement][Market risk capital requirement level 2]
MarketValue The price a financial instrument or other asset would fetch on the financial markets. [CapitalAndOtherProjections][Capital_instruments][Market value]
Marketvaluemovement 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. [CapitalAndOtherProjections][Structured_finance][Market value movement]
MaturityBand The time to maturity as at the reporting date. [CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Maturity band]
MaturityDate The date on which the principal amount of a note or any other debt instrument becomes due and is repaid to the investor and interest payments stop. Format - YYYYMMDD. If perpetual please input 99991231. [CapitalAndOtherProjections][Capital_instruments][Maturity date]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Maturity date]
Maximumdistributableamountconstituent A heading used in the reporting of maximum distributable amount data. [CapitalAndOtherProjections][Maximum_distributable_amount][Maximum distributable amount constituent]
Measure The baseline set of data used in reconciliation rules. [Reconciliations][STDF_data_item_references][Measure]
MemberContributions The value of contributions made by members of the pension scheme in a specified year. [PensionsRisk][Pensions_cash_flow][Member contributions]
Metric A liquidity, structural / funding or other metric used for asset liability management or liquidity purposes. [BalanceSheetProjections][ALM_metrics][Metric]
Metricvalue The value of a specified ALM metric for a specified currency. [BalanceSheetProjections][ALM_metrics][Metric value]
Nameofborrower The full legal name of the borrower. [CorporateSovereignFinInstCreditRisk][UK_CRE][Name of borrower]
Netnewbusiness Projected new business (loans, deposits, etc.) expected for a specified period less the projected repayments within the same period. [BalanceSheetProjections][Market_volumes_UK_only][Net new business]
Netrentalincome The gross rental income received from the property (rather than any income received for other services) minus costs such as agency fees or maintenance. Where there is cross-collateralisation, consider the net rental income and interest expense for all properties secured against the loan. [CorporateSovereignFinInstCreditRisk][UK_CRE][Net rental income]
NewbusinessaveragePDregulatory Average probability of default for new business originated in a given period. This is the same as the application scoring PD. It should be IRB for IRB portfolios and whatever else that the firm uses for non-IRB. If there is no score or a PD for non-IRB then the measure can be left blank. For overdrafts, new business is when the overdraft facility is first granted or if data is not available when the associated current account is opened. [RetailExcludingMortgageCredit][Trended_other][New business average PD regulatory]
[RetailMortgageCredit][Trended_other][New business average PD regulatory]
NewCustomerRate Balance weighted average rate on gross new volumes. [BalanceSheetProjections][ALM_balance_sheet][New customer rate]
Newlendingexcludingremortgages Number of mortgages advanced during the period (i.e. gross approvals) excluding re-mortgaging. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][New lending excluding remortgages]
Newlendingincludingremortgages Number of mortgages advanced during the period (i.e. gross approvals) including re-mortgaging. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][New lending including remortgages]
Nominalamountissuecurrency The stated or face amount or value of an instrument in the issued currency. [CapitalAndOtherProjections][Capital_instruments][Nominal amount issue currency]
Nominalamountreportingcurrency The stated or face amount or value of an instrument in the reporting currency. [CapitalAndOtherProjections][Capital_instruments][Nominal amount reporting currency]
Numberofdelinquentloansgreaterthan6MIA The total number of loans greater than six months in arrears. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of delinquent loans greater than 6 MIA]
[RetailMortgageCredit][Arrears][Number of delinquent loans greater than 6 MIA]
NumberofEvents The number of losses caused by the common operational risk event or number of multiple events linked to the root-event. [OperationalRisk][Operational_loss_details][Number of events]
NumberofLoansgreaterthan3MIA Total number of loans greater than 3 months in arrears. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of loans greater than 3 MIA]
Numberofnewdelinquentloansthatbecamegreaterthan6MIAinperiod The number of loans that became greater than six months in arrears in the stated period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of new delinquent loans that became greater than 6 MIA in period]
[RetailMortgageCredit][Arrears][Number of new delinquent loans that became greater than 6 MIA in period]
NumberofObligors The number of obligors associated with a given group of exposures. [CorporateSovereignFinInstCreditRisk][Risk_measures][Number of obligors]
NumberofPropertiesinPossession A count of the number of properties that are in possession as of the end of the period under consideration (stock). [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of properties in possession]
Numberofpropertysalesinperiod A count of the number of properties sold in the period under consideration. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of property sales in period]
NumberofRepossessionsduetoArrears A count of the number of retail mortgage exposures >6MIA (i.e. originating from a particular arrears period) that were repossessed during a particular repossession period. [RetailMortgageCredit][Repossessions][Number of repossessions due to arrears]
Numberofrepossessionsinperiod A count of the number of retail mortgage exposures that have been repossessed during a particular period [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of repossessions in period]
[RetailMortgageCredit][Trended_other][Number of repossessions in period]
NumberofSales A count of the number of sales of re-possessed properties during a particular period. [RetailMortgageCredit][Sales][Number of sales]
Organisationalunitlevel1 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). [BalanceSheetProjections][ALM_balance_sheet][Organisational unit level 1]
[BalanceSheetProjections][Cards_other_income][Organisational unit level 1]
[BalanceSheetProjections][Comments][Organisational unit level 1]
[BalanceSheetProjections][Other_expense_details][Organisational unit level 1]
[BalanceSheetProjections][Other_income_details][Organisational unit level 1]
[BalanceSheetProjections][Profit_or_loss_business_line][Organisational unit level 1]
[CapitalAndOtherProjections][Comments][Organisational unit level 1]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Organisational unit level 1]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Comments][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Provisions][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Organisational unit level 1]
[CounterpartycreditriskRWA][CCR_RWAs][Organisational unit level 1]
[CounterpartycreditriskRWA][Comments][Organisational unit level 1]
[InsuranceProjections][Comments][Organisational unit level 1]
[InsuranceProjections][Insurance_capital][Organisational unit level 1]
[RetailExcludingMortgageCredit][Comments][Organisational unit level 1]
[RetailExcludingMortgageCredit][RWA][Organisational unit level 1]
[RetailExcludingMortgageCredit][Trended_arrears][Organisational unit level 1]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Organisational unit level 1]
[RetailExcludingMortgageCredit][Trended_other][Organisational unit level 1]
[RetailMortgageCredit][Arrears][Organisational unit level 1]
[RetailMortgageCredit][Comments][Organisational unit level 1]
[RetailMortgageCredit][LTV_arrears_MIA][Organisational unit level 1]
[RetailMortgageCredit][LTV_arrears_PIA][Organisational unit level 1]
[RetailMortgageCredit][LTV_repayment][Organisational unit level 1]
[RetailMortgageCredit][Repossessions][Organisational unit level 1]
[RetailMortgageCredit][RWA][Organisational unit level 1]
[RetailMortgageCredit][Sales][Organisational unit level 1]
[RetailMortgageCredit][Trended_arrears][Organisational unit level 1]
[RetailMortgageCredit][Trended_collective_provisions][Organisational unit level 1]
[RetailMortgageCredit][Trended_other][Organisational unit level 1]
[RetailMortgageCredit][Vintage_analysis][Organisational unit level 1]
[StructuredFinance][Covered_bonds][Organisational unit level 1]
[StructuredFinance][Securitisation_positions][Organisational unit level 1]
Organisationalunitlevel2 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). [BalanceSheetProjections][ALM_balance_sheet][Organisational unit level 2]
[BalanceSheetProjections][Cards_other_income][Organisational unit level 2]
[BalanceSheetProjections][Comments][Organisational unit level 2]
[BalanceSheetProjections][Other_expense_details][Organisational unit level 2]
[BalanceSheetProjections][Other_income_details][Organisational unit level 2]
[BalanceSheetProjections][Profit_or_loss_business_line][Organisational unit level 2]
[CapitalAndOtherProjections][Comments][Organisational unit level 2]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Organisational unit level 2]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Comments][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Provisions][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Organisational unit level 2]
[CounterpartycreditriskRWA][CCR_RWAs][Organisational unit level 2]
[CounterpartycreditriskRWA][Comments][Organisational unit level 2]
[InsuranceProjections][Comments][Organisational unit level 2]
[InsuranceProjections][Insurance_capital][Organisational unit level 2]
[RetailExcludingMortgageCredit][Comments][Organisational unit level 2]
[RetailExcludingMortgageCredit][RWA][Organisational unit level 2]
[RetailExcludingMortgageCredit][Trended_arrears][Organisational unit level 2]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Organisational unit level 2]
[RetailExcludingMortgageCredit][Trended_other][Organisational unit level 2]
[RetailMortgageCredit][Arrears][Organisational unit level 2]
[RetailMortgageCredit][Comments][Organisational unit level 2]
[RetailMortgageCredit][LTV_arrears_MIA][Organisational unit level 2]
[RetailMortgageCredit][LTV_arrears_PIA][Organisational unit level 2]
[RetailMortgageCredit][LTV_repayment][Organisational unit level 2]
[RetailMortgageCredit][Repossessions][Organisational unit level 2]
[RetailMortgageCredit][RWA][Organisational unit level 2]
[RetailMortgageCredit][Sales][Organisational unit level 2]
[RetailMortgageCredit][Trended_arrears][Organisational unit level 2]
[RetailMortgageCredit][Trended_collective_provisions][Organisational unit level 2]
[RetailMortgageCredit][Trended_other][Organisational unit level 2]
[RetailMortgageCredit][Vintage_analysis][Organisational unit level 2]
[StructuredFinance][Covered_bonds][Organisational unit level 2]
[StructuredFinance][Securitisation_positions][Organisational unit level 2]
Organisationalunitlevel3 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). [BalanceSheetProjections][ALM_balance_sheet][Organisational unit level 3]
[BalanceSheetProjections][Cards_other_income][Organisational unit level 3]
[BalanceSheetProjections][Comments][Organisational unit level 3]
[BalanceSheetProjections][Other_expense_details][Organisational unit level 3]
[BalanceSheetProjections][Other_income_details][Organisational unit level 3]
[BalanceSheetProjections][Profit_or_loss_business_line][Organisational unit level 3]
[CapitalAndOtherProjections][Comments][Organisational unit level 3]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Organisational unit level 3]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Comments][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Provisions][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Organisational unit level 3]
[CounterpartycreditriskRWA][CCR_RWAs][Organisational unit level 3]
[CounterpartycreditriskRWA][Comments][Organisational unit level 3]
[InsuranceProjections][Comments][Organisational unit level 3]
[InsuranceProjections][Insurance_capital][Organisational unit level 3]
[RetailExcludingMortgageCredit][Comments][Organisational unit level 3]
[RetailExcludingMortgageCredit][RWA][Organisational unit level 3]
[RetailExcludingMortgageCredit][Trended_arrears][Organisational unit level 3]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Organisational unit level 3]
[RetailExcludingMortgageCredit][Trended_other][Organisational unit level 3]
[RetailMortgageCredit][Arrears][Organisational unit level 3]
[RetailMortgageCredit][Comments][Organisational unit level 3]
[RetailMortgageCredit][LTV_arrears_MIA][Organisational unit level 3]
[RetailMortgageCredit][LTV_arrears_PIA][Organisational unit level 3]
[RetailMortgageCredit][LTV_repayment][Organisational unit level 3]
[RetailMortgageCredit][Repossessions][Organisational unit level 3]
[RetailMortgageCredit][RWA][Organisational unit level 3]
[RetailMortgageCredit][Sales][Organisational unit level 3]
[RetailMortgageCredit][Trended_arrears][Organisational unit level 3]
[RetailMortgageCredit][Trended_collective_provisions][Organisational unit level 3]
[RetailMortgageCredit][Trended_other][Organisational unit level 3]
[RetailMortgageCredit][Vintage_analysis][Organisational unit level 3]
[StructuredFinance][Covered_bonds][Organisational unit level 3]
[StructuredFinance][Securitisation_positions][Organisational unit level 3]
Otherincomeproducttype A classification of products used for projections of 'other income'. [BalanceSheetProjections][Other_income_details][Other income product type]
PaymentType A classification of retail mortgage repayment methods. The repayment method reported must be the current method and must exclude any temporary conversions, e.g. as a result of forbearance. [RetailMortgageCredit][LTV_repayment][Payment type]
PDregulatory 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). [CapitalAndOtherProjections][Risk_measures_by_portfolio][PD regulatory]
[CorporateSovereignFinInstCreditRisk][Large_exposures][PD regulatory]
[CorporateSovereignFinInstCreditRisk][Risk_measures][PD regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE][PD regulatory]
[RetailExcludingMortgageCredit][RWA][PD regulatory]
[RetailMortgageCredit][RWA][PD regulatory]
PensionablePayroll The value of pensionable payroll in a specified year. This should relate to the pensionable payroll of members of the scheme in question, excluding defined contribution members. [PensionsRisk][Pensions_cash_flow][Pensionable payroll]
Pensionassetclass A classification of assets held by a pension scheme. [CapitalAndOtherProjections][Pensions_assets][Pension asset class]
Pensionassetvalue The value of specified assets held by a pension scheme. [CapitalAndOtherProjections][Pensions_assets][Pension asset value]
Pensionliabilityclass A classification scheme for assets and liabilities in a pension scheme. [PensionsRisk][Pensions_funding][Pension funding basis class]
Pensionliabilityclassvaluefundingbasis A monetary amount associated with the asset or liability class. For a specified liability class, this is the value calculated using the trustees’ funding basis, which is used to decide upon the employer contributions – most importantly the recovery plan. Please exclude any defined contribution liabilities or liabilities already backed by matching annuities from both the asset and liability classes. The sign convention is that both assets and liabilities are recorded as positive numbers, so that 'Assets' less the sum of 'Active', 'Deferred' and 'Pensioner' equals the surplus in the scheme on the trustees' funding basis. [PensionsRisk][Pensions_funding][Pension funding basis class value]
Pensionsbalancesheetheader A header relating to the balance sheet of a defined benefit pension scheme. [CapitalAndOtherProjections][Pensions_balance_sheet][Pensions balance sheet header]
PensionScheme The name of a defined benefit pension scheme. [CapitalAndOtherProjections][Pensions_assets][Pension scheme]
[CapitalAndOtherProjections][Pensions_assets_recon][Pension scheme]
[CapitalAndOtherProjections][Pensions_balance_sheet][Pension scheme]
[CapitalAndOtherProjections][Pensions_liabilities_recon][Pension scheme]
[CapitalAndOtherProjections][Pensions_parameters][Pension scheme]
[CapitalAndOtherProjections][Pensions_reg_balance_sheet][Pension scheme]
[PensionsRisk][Comments][Pension scheme]
[PensionsRisk][Pensions_cash_flow][Pension scheme]
[PensionsRisk][Pensions_funding][Pension scheme]
[PensionsRisk][Pensions_parameters][Pension scheme]
Post2014CapitalTier Tier of capital post 2014. [CapitalAndOtherProjections][Capital_instruments][Post 2014 capital tier]
Pre2014capitaltier Tier of capital pre 2014. [CapitalAndOtherProjections][Capital_instruments][Pre 2014 capital tier]
Presecuritisationtotalreferenceportfolioexposure The underlying reference portfolio current exposure as if securitisation had not occurred. [StructuredFinance][Significant_risk_transfer][Pre securitisation total reference portfolio exposure]
Presecuritisationtotalreferenceportfolioriskweightedexposure The underlying reference portfolio current risk-weighted exposure (RWA) as if securitisation had not occurred. [StructuredFinance][Significant_risk_transfer][Pre securitisation total reference portfolio risk weighted exposure]
PreviousarrearsbandbyMIA Previous banding of exposures by their months in arrears. This could be required for both the current period e.g. June 2012 or for a previous period e.g. May 2012. [RetailExcludingMortgageCredit][Trended_arrears][Previous arrears band by MIA]
[RetailMortgageCredit][Trended_arrears][Previous arrears band by MIA]
ProductType A grouping of financial products which are available to bank customers and are regarded as having common attributes, characteristics, qualities or traits. [CapitalAndOtherProjections][Comments][Product type]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Product type]
ProductTypesforMarketVolumes_UKOnlyProjection A classification of products in the context of the Market_volumes_UK_only tab on the Balance Sheet template. [BalanceSheetProjections][Market_volumes_UK_only][Market volume product type]
ProfitorlossandAOCIreconciliationlevel1 A high-level heading in the breakdown of profit or loss and accumulated other comprehensive income. [CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Profit or loss and AOCI reconciliation level 1]
ProfitorlossandAOCIreconciliationlevel2 A lower-level heading in the breakdown of profit or loss and accumulated other comprehensive income. [CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Profit or loss and AOCI reconciliation level 2]
Profitorlossbusinesslineitemlevel1 Profit or loss header item for a business line. [BalanceSheetProjections][Profit_or_loss_business_line][Profit or loss business line item level 1]
Profitorlossbusinesslineitemlevel2 Profit or loss detail item for a business line. [BalanceSheetProjections][Profit_or_loss_business_line][Profit or loss business line item level 2]
Profitorlossitemlevel1 The Profit or loss item header as per FINREP. [BalanceSheetProjections][Profit_or_loss_group_only][Profit or loss item level 1]
Profitorlossitemlevel1cardsotherincome The Profit or loss item header as per FINREP in cards other income context. [BalanceSheetProjections][Cards_other_income][Profit or loss item level 1 cards other income]
Profitorlossitemlevel1otherexpense The Profit or loss item header as per FINREP in other expense details context. [BalanceSheetProjections][Other_expense_details][Profit or loss item level 1 other expense]
Profitorlossitemlevel1otherincome The Profit or loss item header as per FINREP in other income details context. [BalanceSheetProjections][Other_income_details][Profit or loss item level 1 other income]
Profitorlossitemlevel2 The profit or loss detail for each header item as per FINREP. [BalanceSheetProjections][Profit_or_loss_group_only][Profit or loss item level 2]
Profitorlossitemlevel2cardsotherincome Detail (non FINREP) to profit or loss level 1 (FINREP) items related to income - cards. [BalanceSheetProjections][Cards_other_income][Profit or loss item level 2 cards other income]
Profitorlossitemlevel2otherexpense Detail (non FINREP) to profit or loss level 1 (FINREP) items related to expenses. [BalanceSheetProjections][Other_expense_details][Profit or loss item level 2 other expense]
Profitorlossitemlevel2otherincome Detail (non FINREP) to profit or loss level 1 (FINREP) items related to income - other. [BalanceSheetProjections][Other_income_details][Profit or loss item level 2 other income]
Projectionperiod The period to which the associated projections relate. [BalanceSheetProjections][ALM_balance_sheet][Projection period]
[BalanceSheetProjections][ALM_interest_rates][Projection period]
[BalanceSheetProjections][ALM_metrics][Projection period]
[BalanceSheetProjections][Cards_other_income][Projection period]
[BalanceSheetProjections][Comments][Projection period]
[BalanceSheetProjections][Market_volumes_UK_only][Projection period]
[BalanceSheetProjections][Other_expense_details][Projection period]
[BalanceSheetProjections][Other_income_details][Projection period]
[BalanceSheetProjections][Profit_or_loss_business_line][Projection period]
[BalanceSheetProjections][Profit_or_loss_group_only][Projection period]
[CapitalAndOtherProjections][Capital_instruments][Projection period]
[CapitalAndOtherProjections][Capital_requirements][Projection period]
[CapitalAndOtherProjections][Capital_resources][Projection period]
[CapitalAndOtherProjections][Capital_results_summary][Projection period]
[CapitalAndOtherProjections][Comments][Projection period]
[CapitalAndOtherProjections][EL-P_reconciliation][Projection period]
[CapitalAndOtherProjections][Impairments_and_other_losses][Projection period]
[CapitalAndOtherProjections][Leverage][Projection period]
[CapitalAndOtherProjections][Maximum_distributable_amount][Projection period]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Projection period]
[CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Projection period]
[CapitalAndOtherProjections][Pensions_assets][Projection period]
[CapitalAndOtherProjections][Pensions_assets_recon][Projection period]
[CapitalAndOtherProjections][Pensions_balance_sheet][Projection period]
[CapitalAndOtherProjections][Pensions_liabilities_recon][Projection period]
[CapitalAndOtherProjections][Pensions_parameters][Projection period]
[CapitalAndOtherProjections][Pensions_reg_balance_sheet][Projection period]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Projection period]
[CapitalAndOtherProjections][Stress_case_management_actions][Projection period]
[CapitalAndOtherProjections][Structured_finance][Projection period]
[CounterpartycreditriskRWA][CCR_RWAs][Projection period]
[InsuranceProjections][Comments][Projection period]
[InsuranceProjections][Insurance_capital][Projection period]
[MarketriskandCVARWA][Traded_risk_capital_requirement][Projection period]
Propertyquality The overall quality of a commercial real estate property based on its location and the quality of the building. [CorporateSovereignFinInstCreditRisk][UK_CRE][Property quality]
Propertysector A defined grouping of properties by sector, typically of similar characteristics. [CorporateSovereignFinInstCreditRisk][UK_CRE][Property sector]
ProvisiononBalancesinPossession The total provision for properties in possession. [RetailMortgageCredit][Trended_other][Provision on balances in possession]
ProvisiononBalancesinRecovery The total provision for accounts in recoveries. [RetailExcludingMortgageCredit][Trended_other][Provision on balances in recovery]
Provisions As per FINREP (template 12), the amount from 'closing balance' (item 090). [CorporateSovereignFinInstCreditRisk][UK_CRE][Provisions]
ProvisionsBalance 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Provisions balance]
QualifiedNameExternal Reconciliation calculation identifier for data across submissions. [Reconciliations][External_data_item_references][Qualified name]
[Reconciliations][External_reconciliations][Qualified name]
QualifiedNameInternal Reconciliation calculation identifier for data within a template. [Reconciliations][Internal_reconciliations][Qualified name]
[Reconciliations][STDF_data_item_references][Qualified name]
Quotedmargin The fixed amount above or below the bond’s reference rate ignoring any caps or floors used to calculate the coupon payments, for a fixed rate bond the equivalent reference rate would be zero at all times. [StructuredFinance][Securitisation_positions][Quoted margin]
ReferenceRateType A category of reference rate used to price balance sheet and off-balance sheet items. [BalanceSheetProjections][ALM_balance_sheet][Reference rate type]
RegulatoryBalanceSheetAmount A monetary amount related to a regulatory balance sheet Item. [CapitalAndOtherProjections][Pensions_reg_balance_sheet][Regulatory balance sheet amount]
RegulatoryBalanceSheetItem A classification of items on the regulatory balance sheet. [CapitalAndOtherProjections][Pensions_reg_balance_sheet][Regulatory balance sheet item]
RegulatoryCarryValue 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. [CapitalAndOtherProjections][Structured_finance][Regulatory carry value]
[StructuredFinance][Covered_bonds][Regulatory carry value]
[StructuredFinance][Securitisation_positions][Regulatory carry value]
RegulatoryValue The regulatory value of the capital instrument (i.e. not considering market value movements) in the firm’s reporting currency. [CapitalAndOtherProjections][Capital_instruments][Regulatory value]
Repaymentorwithdrawal Projected repayments or withdrawals within a period. [BalanceSheetProjections][Market_volumes_UK_only][Repayment or withdrawal]
Reportdate The reporting date the data is based on. [Reconciliations][External_data_item_references][Report date]
Reportedamount The amount reported via the qualified name in the STDF data item reference or external report data item reference sheets. [Reconciliations][External_reconciliations][Reported amount]
[Reconciliations][Internal_reconciliations][Reported amount]
ReportLineNumber Further details on the information within an external report which is used as part of external reconciliation rules. [Reconciliations][External_data_item_references][Report line number]
ReportMeasure The specific piece of information within an external report which is used as part of external reconciliation rules. [Reconciliations][External_data_item_references][Report measure]
ReportName The name of the external report containing information which is used as part of external reconciliation rules. [Reconciliations][External_data_item_references][Report name]
ReportPage The page or reference to the information within an external report which is used as part of external reconciliation rules. [Reconciliations][External_data_item_references][Report page]
ReportType The type of report from which data is used in external reconciliation rules. [Reconciliations][External_data_item_references][Report type]
Repossessionperiodquarter The historical period (quarter) during which the repossession of a property took place. [RetailMortgageCredit][Repossessions][Repossession period quarter]
Repossessionperiodyear The historical period (year) during which the repossession of a property took place. [RetailMortgageCredit][Repossessions][Repossession period year]
Resecuritisation A statement of whether the position is a resecuritisation, defined in the PRA Handbook Glossary as: a securitisation where the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitisation position. [StructuredFinance][Securitisation_positions][Resecuritisation]
Restructuredaccountsbalanceinarrears The portion of drawn balance that is in arrears, possession, or recoveries, for all restructured accounts. Restructured accounts include all forms of restructuring used in delinquency or to avoid delinquency, e.g. reduced/zero payment concessions, temporary transfer to interest-only, arrears capitalisations, etc. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts balance in arrears]
[RetailMortgageCredit][Trended_other][Restructured accounts balance in arrears]
Restructuredaccountsbalanceuptodate The portion of drawn balance that is not in arrears, possession, or recoveries, for all restructured accounts. Restructured accounts include all forms of restructuring used in delinquency or to avoid delinquency, e.g. reduced/zero payment concessions, temporary transfer to interest-only, arrears capitalisations, etc. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts balance up to date]
[RetailMortgageCredit][Trended_other][Restructured accounts balance up to date]
Restructuredaccountsprovisiononbalancesinarrears Provisions held against balances in arrears for restructured accounts. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts provision on balances in arrears]
[RetailMortgageCredit][Trended_other][Restructured accounts provision on balances in arrears]
Restructuredaccountsprovisiononbalancesuptodate Provisions held against balances up to date for restructured accounts. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts provision on balances up to date]
[RetailMortgageCredit][Trended_other][Restructured accounts provision on balances up to date]
Retailmortgageadditionalsegmentation An additional structural characteristic possessed by retail mortgage products. [RetailMortgageCredit][LTV_arrears_MIA][Retail mortgage additional segmentation]
[RetailMortgageCredit][LTV_arrears_PIA][Retail mortgage additional segmentation]
[RetailMortgageCredit][LTV_repayment][Retail mortgage additional segmentation]
Retailsecuredassetclass A defined grouping of retail secured assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [RetailMortgageCredit][Arrears][Retail secured asset class]
[RetailMortgageCredit][Comments][Retail secured asset class]
[RetailMortgageCredit][LTV_arrears_MIA][Retail secured asset class]
[RetailMortgageCredit][LTV_arrears_PIA][Retail secured asset class]
[RetailMortgageCredit][LTV_repayment][Retail secured asset class]
[RetailMortgageCredit][Repossessions][Retail secured asset class]
[RetailMortgageCredit][RWA][Retail secured asset class]
[RetailMortgageCredit][Sales][Retail secured asset class]
[RetailMortgageCredit][Trended_arrears][Retail secured asset class]
[RetailMortgageCredit][Trended_collective_provisions][Retail secured asset class]
[RetailMortgageCredit][Trended_other][Retail secured asset class]
[RetailMortgageCredit][Vintage_analysis][Retail secured asset class]
RetailsecuredindexedLTVband A band representing a range of indexed loan to values for retail mortgages. [RetailMortgageCredit][LTV_arrears_MIA][Retail secured indexed LTV band]
[RetailMortgageCredit][LTV_arrears_PIA][Retail secured indexed LTV band]
[RetailMortgageCredit][LTV_repayment][Retail secured indexed LTV band]
Retailsecuredproducttype A classification scheme for retail mortgage products. Products falling within each product type will have similar risk characteristics. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Retail secured product type]
[RetailMortgageCredit][Arrears][Retail secured product type]
[RetailMortgageCredit][Comments][Retail secured product type]
[RetailMortgageCredit][LTV_arrears_MIA][Retail secured product type]
[RetailMortgageCredit][LTV_arrears_PIA][Retail secured product type]
[RetailMortgageCredit][LTV_repayment][Retail secured product type]
[RetailMortgageCredit][Repossessions][Retail secured product type]
[RetailMortgageCredit][RWA][Retail secured product type]
[RetailMortgageCredit][Sales][Retail secured product type]
[RetailMortgageCredit][Trended_arrears][Retail secured product type]
[RetailMortgageCredit][Trended_collective_provisions][Retail secured product type]
[RetailMortgageCredit][Trended_other][Retail secured product type]
[RetailMortgageCredit][Vintage_analysis][Retail secured product type]
Retailunsecuredassetclass A defined grouping of retail unsecured assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [RetailExcludingMortgageCredit][Comments][Retail unsecured asset class]
[RetailExcludingMortgageCredit][RWA][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Trended_arrears][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Trended_other][Retail unsecured asset class]
Retailunsecuredproducttype A classification scheme for unsecured retail products. Products falling within each product type will have similar risk characteristics. [RetailExcludingMortgageCredit][Comments][Retail unsecured product type]
[RetailExcludingMortgageCredit][RWA][Retail unsecured product type]
[RetailExcludingMortgageCredit][Trended_arrears][Retail unsecured product type]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Retail unsecured product type]
[RetailExcludingMortgageCredit][Trended_other][Retail unsecured product type]
Risktype A classification of risk used within the stress test data collection. [CapitalAndOtherProjections][Comments][Risk type]
[CapitalAndOtherProjections][EL-P_reconciliation][Risk type]
[Reconciliations][STDF_data_item_references][Risk type]
Riskweightedexposureamount A risk weighted exposure amount for counterparty credit risk exposure and CCP default fund calculation. Note that CCP default fund risk weighted exposure amounts should be 12.5 times (x) the own funds requirements for CCP default charge defined in CRR Article 307-311. [CounterpartycreditriskRWA][CCR_RWAs][Risk weighted exposure amount]
RPIinflationfundingbasis The assumed rate of future inflation (measured according to the retail price index (RPI)) used to calculate the values on the 'Pensions_funding' tab. If the trustees use an inflation yield curve approach, please estimate a single representative rate. [PensionsRisk][Pensions_parameters][RPI inflation funding basis]
RuleID The rule ID the comment refers to. [BalanceSheetProjections][Comments][Rule ID]
[CapitalAndOtherProjections][Comments][Rule ID]
[CorporateSovereignFinInstCreditRisk][Comments][Rule ID]
[CounterpartycreditriskRWA][Comments][Rule ID]
[InsuranceProjections][Comments][Rule ID]
[MarketriskandCVARWA][Comments][Rule ID]
[OperationalRisk][Comments][Rule ID]
[RetailExcludingMortgageCredit][Comments][Rule ID]
[RetailMortgageCredit][Comments][Rule ID]
Ruleidentifier A unique identifier of a validation or reconciliation rule as specified by the Bank of England. [PensionsRisk][Comments][Rule identifier]
[StructuredFinance][Comments][Rule identifier]
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. [CapitalAndOtherProjections][Capital_requirements][RWA]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][RWA]
[CapitalAndOtherProjections][Structured_finance][RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][RWA]
[CorporateSovereignFinInstCreditRisk][Large_exposures][RWA]
[CorporateSovereignFinInstCreditRisk][Risk_measures][RWA]
[CorporateSovereignFinInstCreditRisk][UK_CRE][RWA]
[MarketriskandCVARWA][Traded_risk_capital_requirement][RWA]
[RetailExcludingMortgageCredit][RWA][RWA]
[RetailMortgageCredit][RWA][RWA]
[StructuredFinance][Covered_bonds][RWA]
[StructuredFinance][Securitisation_positions][RWA]
Saleperiodquarter The historical period (quarter) during which the sale of a property took place. [RetailMortgageCredit][Sales][Sale period quarter]
Saleperiodyear The historical period (year) during which the sale of a property took place. [RetailMortgageCredit][Sales][Sale period year]
Scenario Identifies the scenario. [BalanceSheetProjections][ALM_balance_sheet][Scenario]
[BalanceSheetProjections][ALM_interest_rates][Scenario]
[BalanceSheetProjections][ALM_metrics][Scenario]
[BalanceSheetProjections][Cards_other_income][Scenario]
[BalanceSheetProjections][Comments][Scenario]
[BalanceSheetProjections][Market_volumes_UK_only][Scenario]
[BalanceSheetProjections][Other_expense_details][Scenario]
[BalanceSheetProjections][Other_income_details][Scenario]
[BalanceSheetProjections][Profit_or_loss_business_line][Scenario]
[BalanceSheetProjections][Profit_or_loss_group_only][Scenario]
[CapitalAndOtherProjections][Capital_instruments][Scenario]
[CapitalAndOtherProjections][Capital_requirements][Scenario]
[CapitalAndOtherProjections][Capital_resources][Scenario]
[CapitalAndOtherProjections][Capital_results_summary][Scenario]
[CapitalAndOtherProjections][Comments][Scenario]
[CapitalAndOtherProjections][EL-P_reconciliation][Scenario]
[CapitalAndOtherProjections][Impairments_and_other_losses][Scenario]
[CapitalAndOtherProjections][Leverage][Scenario]
[CapitalAndOtherProjections][Maximum_distributable_amount][Scenario]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Scenario]
[CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Scenario]
[CapitalAndOtherProjections][Pensions_assets][Scenario]
[CapitalAndOtherProjections][Pensions_assets_recon][Scenario]
[CapitalAndOtherProjections][Pensions_balance_sheet][Scenario]
[CapitalAndOtherProjections][Pensions_liabilities_recon][Scenario]
[CapitalAndOtherProjections][Pensions_parameters][Scenario]
[CapitalAndOtherProjections][Pensions_reg_balance_sheet][Scenario]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Scenario]
[CapitalAndOtherProjections][Stress_case_management_actions][Scenario]
[CapitalAndOtherProjections][Structured_finance][Scenario]
[CounterpartycreditriskRWA][CCR_RWAs][Scenario]
[InsuranceProjections][Comments][Scenario]
[InsuranceProjections][Insurance_capital][Scenario]
[MarketriskandCVARWA][Traded_risk_capital_requirement][Scenario]
Securedexposure The part of the exposure which is secured by collateral (or funded credit protection). On IRB exposures this corresponds to the amount in template CR IRB 1 which results from the sum of columns 170, 180, 190, 200, and 210 (row 010). Standardised exposures are to be reported net of funded credit protection so, for them, this amount is expected to be zero. [CorporateSovereignFinInstCreditRisk][Large_exposures][Secured exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Secured exposure]
Securitisationpositionsproducttype A classification scheme for securitisation products. [StructuredFinance][Securitisation_positions][Securitisation positions product type]
Securitisationpositionssubproducttype A sub-classification of securitisation products. [StructuredFinance][Securitisation_positions][Securitisation positions sub product type]
SecuritisedAssetClass The asset type(s) of the reference portfolio of the transaction. If the reference portfolio contains mixed asset types, this should be declared and any significant concentrations disclosed. [StructuredFinance][Significant_risk_transfer][Securitised asset class]
Security The collateral the loan is backed by, e.g. asset finance. [CapitalAndOtherProjections][Comments][Security]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Security]
[RetailExcludingMortgageCredit][Comments][Security]
[RetailExcludingMortgageCredit][RWA][Security]
[RetailExcludingMortgageCredit][Trended_arrears][Security]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Security]
[RetailExcludingMortgageCredit][Trended_other][Security]
Seniorunsecuredexposure The part of the exposure which is not secured by collateral (or funded credit protection) but has priority over other tranches of the debt. On IRB exposures this corresponds to a fraction of the amount in template CR IRB 1 which results from the sum of columns 150, 160, and 120. NOTE: the sum of this and of the amount of 'Subordinated Unsecured Exposure' has to be equal to the result of the sum of the columns 150, 160, and 120 from COREP template CR IRB 1. On standardised this corresponds to a fraction of the amount in template CR SA which results from the sum of EXPOSURE VALUE + VALUE ADJUSTMENTS ({c200} - {c30}) NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the sum of the columns 200 and the negative of column 30 from COREP template CR SA. [CorporateSovereignFinInstCreditRisk][Large_exposures][Senior unsecured exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Senior unsecured exposure]
Sign The sign, (positive or negative) that will be multiplied to the reported amount to determine the unreconciled difference. [Reconciliations][External_reconciliations][Sign]
[Reconciliations][Internal_reconciliations][Sign]
Specificallowancesforcollectivelyassessedfinancialassets Applies to retail actuals templates only. This should be equal to FINREP (section 4.4) ‘Specific allowances for collectively assessed financial assets’ [IAS 39 AG 84-92; Annex V.Part 2.37]. [RetailExcludingMortgageCredit][Trended_collective_provisions][Specific allowances for collectively assessed financial assets]
[RetailMortgageCredit][Trended_collective_provisions][Specific allowances for collectively assessed financial assets]
The full legal name of the sponsor. The "Sponsor" is the "guarantor" of the facility, though in some cases the sponsor may not provide a guarantee. [CorporateSovereignFinInstCreditRisk][UK_CRE][Sponsor]
Stepupfeatures A description of any step-up features or incentives to redeem. If the instrument has no step-up features, please input 'none'. [CapitalAndOtherProjections][Capital_instruments][Step up features]
Structuredfinanceassetclass A classification of the principal types of structured finance instruments. [CapitalAndOtherProjections][Structured_finance][Structured finance asset class]
[StructuredFinance][Covered_bonds][Structured finance asset class]
[StructuredFinance][Securitisation_positions][Structured finance asset class]
Structuredfinancepositiontype A classification of the characteristics or nature of a securitisation position. The securitisation will fall into one of the categories in the specified enumeration, determined by whether it is a cash or synthetic exposure, whether the position is long or short, and whether the position is a liquidity facility or not. [StructuredFinance][Securitisation_positions][Structured finance position type]
SubmissionType States whether the submission is historical or future projections. [Reconciliations][External_reconciliations][Submission type]
[Reconciliations][Internal_reconciliations][Submission type]
Subordinatedunsecuredexposure The residual part of the exposure, which is neither secured nor senior unsecured. On IRB exposures this corresponds to a fraction of the amount in template CR IRB 1 which results from the sum of columns 150, 160, and 120. NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the sum of the columns 150, 160, and 120 from COREP template CR IRB 1. On standardised, this corresponds to a fraction of the amount in template CR SA which results from the sum of EXPOSURE VALUE + VALUE ADJUSTMENTS ({c200} - {c30}) NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the sum of the columns 200 and the negative of column 30 from COREP template CR SA. [CorporateSovereignFinInstCreditRisk][Large_exposures][Subordinated unsecured exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Subordinated unsecured exposure]
Subproducttype A sub classification of retail mortgage product risk characteristics. [RetailMortgageCredit][LTV_arrears_MIA][Sub product type]
[RetailMortgageCredit][LTV_arrears_PIA][Sub product type]
[RetailMortgageCredit][LTV_repayment][Sub product type]
[RetailMortgageCredit][Vintage_analysis][Sub product type]
SwapRate Fixed rate on the swap paying a 3M floating rate (specified in the 'LIBOR swap curve' data item). [BalanceSheetProjections][ALM_interest_rates][Swap rate]
TaxTreatment An indication of whether a regulatory balance sheet amount is before tax or after tax. [CapitalAndOtherProjections][Pensions_reg_balance_sheet][Tax treatment]
Term Term/tenor of the interest rate on the yield curve. Note that terms 2m, 4m, 5m, 7m, 8m, 10m and 11m are optional, the rest of the yield curve is mandatory. [BalanceSheetProjections][ALM_interest_rates][Term]
TotalCustomerRate The average rate paid/received over the reporting period. It can be derived by calculating the total interest generated over the period divided by the average balance. For simplicity it is assumed that the year 0 average balance equals the year 0 closing balance. [BalanceSheetProjections][ALM_balance_sheet][Total customer rate]
TotalMarketValuationofSoldProperties Total indexed valuation of the sold properties. It should be a full 'free market' value and not a repossession value. [RetailMortgageCredit][Sales][Total market valuation of sold properties]
Totalnumberofoutstandingloans The total number of retail mortgage loans with an amount to be repaid. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Total number of outstanding loans]
TotalRealisedSaleValue The actual sale price of the property gross of costs i.e. the amount paid by the purchaser. [RetailMortgageCredit][Sales][Total realised sale value]
Totalrealisedsalevalueinperiod Actual sale price of the property gross of costs i.e. what was paid by the purchaser within period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Total realised sale value in period]
Totalreferenceportfoliounderlyingexpectedlossregulatory The current expected loss relating to the underlying reference portfolio. [StructuredFinance][Significant_risk_transfer][Total reference portfolio underlying expected loss regulatory]
Totalreferenceportfoliounderlyingunexpectedlossregulatory The current unexpected loss relating to the underlying reference portfolio. [StructuredFinance][Significant_risk_transfer][Total reference portfolio underlying unexpected loss regulatory]
Tranche Tranche of the transaction which has achieved SRT. [StructuredFinance][Significant_risk_transfer][Tranche]
Tranchecouponindexandpremium Details of the coupon paid by the individual tranche (e.g. 1mLIBOR + 200bps; or 200bps Fixed). [StructuredFinance][Significant_risk_transfer][Tranche coupon index and premium]
Transactionnameandseries Transaction name and series which has achieved SRT. For transactions post-2011, this should correspond with the name of deal found on the submission to the SRT inbox for consideration of capital relief under the Significant Risk Transfer regime. [StructuredFinance][Significant_risk_transfer][Transaction name and series]
Turnover The total value of all transactions (in £) which generate the fee. [BalanceSheetProjections][Cards_other_income][Turnover]
UndrawnBalance The difference between the committed limit on a loan and the drawn balance. [RetailExcludingMortgageCredit][Trended_other][Undrawn balance]
[RetailMortgageCredit][Trended_other][Undrawn balance]
UnilateralaccountingCVA As per CRR Article 273 paragraph 6 - the actual or projected unilateral accounting value that the firm deducts from the regulatory exposure value when calculating actual or projected risk weighted exposure amounts as per CRR Article 273 paragraph 6. Positive values are taken to denote credit valuation adjustments deductions from accounting P&L and would be subtracted from regulatory EAD as per CRR Article 273. Negative values are taken to denote credit valuation increases to accounting P&L. [CounterpartycreditriskRWA][CCR_RWAs][Unilateral accounting CVA]
UniqueID 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. [CapitalAndOtherProjections][Structured_finance][Unique ID]
[Reconciliations][External_reconciliations][Unique ID]
[Reconciliations][Internal_reconciliations][Unique ID]
[StructuredFinance][Covered_bonds][Unique ID]
[StructuredFinance][Securitisation_positions][Unique ID]
Uniqueidentifier An identifier assigned by a firm to uniquely identify a record within the firm’s system. [OperationalRisk][Operational_loss_details][Unique identifier]
Value The relevant value of each of the filters used to define specifically which sets of data each reconciliation rule is relevant to. [Reconciliations][STDF_data_item_references][Value]
Vintage The year in which a loan was first originated. For overdrafts, this would be when the overdraft facility was granted or if data is not available when the associated current account was opened. [CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Vintage]
[RetailMortgageCredit][Vintage_analysis][Vintage]
Watchlist A list of counterparties or portfolios being closely monitored closely as per the firm's risk monitoring criteria. Indicate with a ‘True’ or ‘False‘ whether the portfolio or the counterparty is on the firm’s watchlist. [CorporateSovereignFinInstCreditRisk][Large_exposures][Watchlist]
Weightedaverageleaselength Weighted average of the length of all leases (in years) that relate to one specific property, weighted by the share of space used by all sub-components of that property. [CorporateSovereignFinInstCreditRisk][UK_CRE][Weighted average lease length]
Weightedaveragelife The weighted average time to receipt of the expected principal payments (or in the case of derivatives, reduction in notional) of the portfolio throughout its entire economic life. Weighted average life should consider all principal cash flows of the portfolio until full repayment. [StructuredFinance][Securitisation_positions][Weighted average life]
Wholesaleassetclass A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [CorporateSovereignFinInstCreditRisk][Comments][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Provisions][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Wholesale asset class]
[CounterpartycreditriskRWA][CCR_RWAs][Wholesale asset class]
[CounterpartycreditriskRWA][Comments][Wholesale asset class]