Stress Test Data Framework Dictionary 2017: Version 02

Provisions

This worksheet captures details of collective and individual provisions.

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 Country of exposure CountryofExposure The country of residence of the obligor on an ultimate risk basis. The definition should be consistent with that used for the purposes of the 'geographical breakdown of exposures by residence of the obligor' in COREP (C 09.01 and C 09.02). When the exposure is to an international corporate body and therefore cannot be attributed to a specific country, the SUPRA continental enumerations should be used. Continental totals provided should only be used in projections templates when no specific country can be identified, they should not be used in actuals templates.
5 Wholesale asset class Wholesaleassetclass A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest.
6 Default status DefaultStatus The status of assets with respect to default as defined in CRR Articles 127 and 178 (default) and assets which don’t fall under the definitions referred to in CRR Articles 127 and 178 (not in default).
7 Exposure for impairments 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'.
8 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}).
9 Individual provisions 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].
10 Collective provisions 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].