Order |
Field Name |
Enumeration |
Definition |
1 |
Counterparty name |
|
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. |
2 |
Legal entity identifier |
|
The Legal Entity Identifier (LEI) is a 20-character, alpha-numeric code, to uniquely identify legally distinct entities that engage in financial transactions. |
3 |
Companies house ID |
|
Companies House company registration number (CRN). |
4 |
Wholesale asset class |
Wholesaleassetclass |
A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest. |
5 |
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. |
6 |
Industrial classification |
Industrialclassification |
A classification scheme for industry sector. The permitted values are the sector headings from the UK 2007 Standard Industrial Classification (SIC). |
7 |
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. |
8 |
Credit rating scale name |
Creditratingscalename |
A descriptive name given to a firm credit rating scheme. |
9 |
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. |
10 |
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). |
11 |
External credit rating |
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. |
12 |
Committed Limit |
|
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. |
13 |
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}). |
14 |
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. |
15 |
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. |
16 |
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). |
17 |
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). |
18 |
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. |
19 |
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]. |
20 |
Secured exposure |
|
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. |
21 |
Senior unsecured exposure |
|
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. |
22 |
Subordinated unsecured exposure |
|
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. |
23 |
Exposure weighted maturity |
|
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. |
24 |
Exposure weighted vintage |
|
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). |
25 |
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. |
26 |
Watchlist |
Boolean |
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. |