Stress Test Data Framework Dictionary 2017: Version 02

Metric

Enumeration Definition
AAA covered bond spread Assumed spread over the reference rate (e.g. 3m Libor) on the firms’ AAA-rated 5-10 year covered bond for all relevant issue currencies.
AAA RMBS spread Assumed spread on the firms’ AAA-rated 5-10 year RMBS over the reference rate (e.g. 3m Libor) for all relevant issue currencies. To determine tenor, use estimated time to clean-up call date.
CDS spread Assumed CDS spread on the firms’ 5-year senior unsecured debt for the most liquid currencies.
CoCo funding Total amount of contingent-convertible tier 1 capital instruments as currently defined by the CRR/CRD IV. Where material more detailed information may be required.
DWF prepositioned collateral Undrawn pre-positioned collateral at the DWF. This should be the amount after any haircuts that can be drawn against the collateral placed with the Bank of England.
FX rate for the material balance sheet currencies Exchange rate at which foreign currency balance sheet projections were translated to reporting currency.
Level 1 securities Market value of Level 1 securities as currently defined by the CRR/CRD IV. This should cover both trading and non-trading books.
Level 2 securities Market value of Level 2 securities as currently defined by the CRR/CRD IV. This should cover both trading and non-trading books.
Liquid asset buffer Market value of LAB including but not limited to central bank reserves, securities and eligible DWF capacity. This should cover both trading and non-trading books.
Liquidity coverage ratio Indicative LCR projection as currently defined by the CRR/CRD IV.
Long term credit rating (external) The lowest long term rating (LT issuer default rating / LT foreign issuer credit) of the group given by any of the three major credit rating agencies (S&P, Moody’s, or Fitch).
Net stable funding ratio Net stable funding ratio as currently defined in the current Basel text.
Secured funding over total assets Assumption on the proportion of total secured funding as a percentage of total assets.
Unencumbered assets Amount of unencumbered assets.
Wholesale funding less than 3 months Amount of wholesale funding maturing in less than 3 months.