Stress Test Data Framework Dictionary 2017: Version 02

UK_CRE

This worksheet captures details of UK CRE exposures over £5 million (defined by Exposure for RWA) at a borrower level. Exposures included within this should capture where the country of exposure is reported as UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND within the Risk_measures tab. Whilst we would expect the majority of these exposures to imply that the property is located in the UK we anticipate there may be some properties located outside of the UK. Where properties outside of the UK are reported, please report these as Non UK within location of property. All exposures above £5m should be included, where the loan is below £5m these can be aggregated so that each line is above £5m. Please include the basis of aggregation within the basis of preperation. CRE development type is required when Wholesale asset class equals CRE development.

201702 CorporateSovereignFinInstCreditRisk

Order Field Name Enumeration Definition
1 Organisational unit level 1 Please enter the highest logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
2 Organisational unit level 2 Please enter the second logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
3 Organisational unit level 3 Please enter the third (if applicable) logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
4 Wholesale asset class CREassetclass A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest.
5 CRE development type CREdevelopmenttype The nature of a commercial real estate development.
6 Property sector Propertysector A defined grouping of properties by sector, typically of similar characteristics.
7 Property quality Propertyquality The overall quality of a commercial real estate property based on its location and the quality of the building.
8 Location of property 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.
9 Name of borrower The full legal name of the borrower.
10 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.
11 Basel approach BaselApproach Refers to the methods of calculating the credit risk capital component as set out in CRR Part 3 Title II Chapters 2&3.
12 Credit rating scale name Creditratingscalename A descriptive name given to a firm credit rating scheme.
13 Internal credit rating Wholesaleinternalcreditrating 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.
14 Drawn balance Amount of a loan drawn by a borrower on a specified date. Balances should be reconcilable to the statutory accounts and regulatory returns. Loan balances should be entered net of write-offs and gross of Provisions. Balances should be gross of any off-set balances, i.e. the actual outstanding principal amount owed. This measure has to be consistent with the amount that can be calculated from the COREP templates CR IRB 1 and CR SA. In particular: a) For IRB Exposures: the amount should be reconcilable with the difference between EXPOSURE VALUE and EXPOSURE VALUE - OF WHICH: OFF BALANCE SHEET ITEMS ({c110} - {c120}).b) For standardised exposures, this amount should be reconcilable with the difference between FULLY ADJUSTED EXPOSURE VALUE (E*) and OFF BALANCE SHEET ITEMS ({c150} - {c160} - {c170} - {c180} - {c190}).
15 RWA Risk Weighted Exposure Amount. For credit risk, see CRR Article 113 for the calculation of risk weighted exposure amounts under the standardised approach and Articles 153-157 for the calculation under the IRB approach. The RWA reported should correspond to COREP Item 220 (Template C 07.00) for Standardised and Item 260 (Template C 08.01) for IRB portfolios. For securitisation positions, risk weighted exposure amount is as per the capital calculation methodology. This has a minimum of zero and a maximum of 12.5 times the regulatory carry value. If a firm has deducted the asset from capital, this field should be entered as 12.5 times the capital deduction. In instances where trading book RWAs have been calculated in accordance with CRR Article 337(4), please provide the RWAs against each individual position as if the RWA had been calculated in accordance with Article 337(3.2) and state in the comments whether it is the long or short positions driving trading book RWAs. For structured finance data, if the asset is a hedge (short) on the trading book as described in CRR Article 346, the relevant reduction in risk weighted exposure should be applied and annotated accordingly in comments, clearly defining which of the three hedging treatments is being claimed.
16 Exposure for RWA The exposure amount that forms the basis for the calculation of RWA. For assets under the standardised approach this is as defined in CRR Article 111. For assets under the IRB approach this is as defined in CRR Part 3 Title II Chapter 3 Section 5. This corresponds to the amount included in COREP templates: a) for standardised exposures, in template "CR SA" at column 200. Defaulted assets must be reallocated to the original asset class and reported in the respective asset class breakdown where credit rating = 'in default'. b) for IRB exposures, in template "CR IRB 1" at column 110.
17 PD regulatory Average PD for a set of assets weighted by the EAD of each. This is the regulatory PD used to calculate capital requirements. As per PRA Handbook Glossary, the PD is (in accordance with Article 4(25) of the Banking Consolidation Directive (definitions)) the probability of default of counterparty over a one year period. For the purposes of the IRB approach, this could be TTC or some form of hybrid PD. Firms should clarify the nature of PD provided as part of the unstructured data submission. Valid values for this measure are >=0 and <=1. The PD to be reported is the exposure-weighted average (the exposure to use is the same amount collected under the measure 'exposure' in this template).
18 LGD regulatory Average LGD (as specified in CRR Articles 161 and 164) for a set of assets weighted by the EAD of each. Valid values for this measure are >=0. For default exposures expected loss best estimate LGD should be reported, as specified in CRR Article 153(1)(ii)The LGD to be reported is a weighted average, where the weight is given by the product Exposure * PD with both of these being the measures reported in the corresponding columns of this template (see also par. 65, first bullet point, p.23 of EBA's "2016 EU wide stress test-methodological note" http://www.eba.europa.eu/documents/10180/1259315/2016+EU-wide+stress+test-Methodological+note.pdf).
19 Expected loss regulatory Expected Loss (credit risk) is the Basel regulatory expected loss, as estimated for exposure where capital requirements are calculated under the IRB approach, as per CRR Article 158. For standardised exposures, expected loss should not be reported. For securitisation positions and covered bonds, this is the expected loss of the instrument, net of any impairments that have already been taken through P&L. For the projections template this should be the expected loss over the entire economic life of the asset as measured at the end of the projection year, not the change in expected loss during that year. Losses should be recorded as a positive number in the structured finance data submissions.
20 Provisions As per FINREP (template 12), the amount from 'closing balance' (item 090).
21 Indexed LTV band 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.
22 LTV at origination Loan to value ratio at origination of the loan (loan to value of the property).
23 Loan to end value for CRE development loans The loan to value of the completed property (the end value) for commercial real estate developments.
24 Interest cover ratio 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.
25 Net rental income 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.
26 Interest basis Interestbasis An indication of the interest rate basis and the hedging of the exposure.
27 Weighted average lease length 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.
28 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.
29 Date of origination The date the loan was originated.
30 CRE security 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.
31 Forborne 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.