Stress Test Data Framework Dictionary 2017: Version 02

Capital_instruments

This worksheet collects the detail behind all Tier 1 and Tier 2 capital instruments currently on the balance sheet or forecasted to be on the balance sheet in all scenarios in the rows below. The aim is to understand how, on an instrument by instrument basis, these evolve in the Basel 3 transition period. Please include: 1) the Basel 3 schedule and phasing for grandfathering; and 2) the Basel 3 point of non-viability (PON) requirements (assuming all instruments require a PON clause).

201702 CapitalAndOtherProjections

Order Field Name Enumeration Definition
1 Issuer The name of an issuer of a non-core capital instrument that the firm is currently holding on the balance sheet.
2 Instrument A descriptive name of a non-core capital instrument that the firm is currently holding on the balance sheet.
3 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.
4 Pre 2014 capital tier Pre2014capitaltier Tier of capital pre 2014.
5 Post 2014 capital tier Post2014CapitalTier Tier of capital post 2014.
6 Issuance date The date on which a capital instrument is issued.
7 Maturity date 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.
8 Call date The date on which an instrument can be redeemed before maturity. If there is no call date for the instrument, please leave unpopulated.
9 Step up features A description of any step-up features or incentives to redeem. If the instrument has no step-up features, please input 'none'.
10 Issue currency Currency The currency in which the capital instrument is issued.
11 Nominal amount issue currency The stated or face amount or value of an instrument in the issued currency.
12 Nominal amount reporting currency The stated or face amount or value of an instrument in the reporting currency.
13 Scenario Scenario Identifies the scenario.
14 Projection period Projectionperiod The period to which the associated projections relate.
15 Regulatory value The regulatory value of the capital instrument (i.e. not considering market value movements) in the firm’s reporting currency.
16 Market value The price a financial instrument or other asset would fetch on the financial markets.