Stress Test Data Framework Dictionary 2017: Version 02

LeverageItem

Enumeration Definition
(-) Asset amount deducted - Tier 1 - fully phased-in definition Please see the EBA Draft ITS on the leverage ratio (EBA/CP/2014/44). https://www.eba.europa.eu/documents/10180/930323/EBA-CP-2014-44+(CP+on+amending+ITS+on+LR+reporting).pdf
(-) Eligible cash variation margin received offset against derivatives market value Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Eligible purchased credit derivatives offset against written credit derivatives Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exempted CCP leg of client-cleared SFT exposures Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exempted CCP leg of client-cleared trade exposures (initial margin) Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exempted CCP leg of client-cleared trade exposures (original exposure method) Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exempted CCP leg of client-cleared trade exposures (replacement costs) Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Exposures exempted in accordance with Article 429 (14) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Fiduciary assets Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
(-) Receivables for cash variation margin provided in derivatives transactions Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Adjustments for SFT sales accounting transactions Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
AT1 capital with < 7% CET1 trigger Please see the July 2015 Policy Statement (numbers are as at year end):http://www.bankofengland.co.uk/financialstability/Documents/fpc/policystatement010715ltr.pdf.
Capped notional amount of written credit derivatives Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Counterparty credit risk of SFT agent transactions in accordance with Article 429b (6) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Derivatives: Add-on under the mark-to-market method Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Derivatives: Current replacement cost Please see the EBA Draft ITS on the leverage ratio (EBA/CP/2014/44). https://www.eba.europa.eu/documents/10180/930323/EBA-CP-2014-44+(CP+on+amending+ITS+on+LR+reporting).pdf
Derogation for derivatives: original exposure method Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Derogation for SFTs: Add-on in accordance with Article 429b (4) and 222 of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Gross up for derivatives collateral provided Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Leverage Ratio - using a fully phased-in definition of Tier 1 capital Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Leverage Ratio - using a fully phased-in definition of Tier 1 capital excluding AT1 capital with < 7% CET1 trigger Please see the July 2015 Policy Statement (numbers are as at year end): http://www.bankofengland.co.uk/financialstability/Documents/fpc/policystatement010715ltr.pdf.
Off-balance sheet items with a 10% CCF in accordance with Article 429 (10) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Off-balance sheet items with a 100% CCF in accordance with Article 429 (10) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Off-balance sheet items with a 20% CCF in accordance with Article 429 (10) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Off-balance sheet items with a 50% CCF in accordance with Article 429 (10) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Other assets Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
SFTs: Add-on for counterparty credit risk Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
SFTs: Exposure in accordance with Article 429 (5) and 429 (8) of the CRR Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Tier 1 capital - fully phased-in definition Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.
Tier 1 capital - fully phased-in definition excluding AT1 capital with < 7% CET1 trigger Please see the July 2015 Policy Statement : http://www.bankofengland.co.uk/financialstability/Documents/fpc/policystatement010715ltr.pdf.
Total Leverage Ratio Buffer Please see the July 2015 Policy Statement (numbers are as at year end):http://www.bankofengland.co.uk/financialstability/Documents/fpc/policystatement010715ltr.pdf.
Total Leverage Ratio exposure - using a fully phased-in definition of Tier 1 capital Please see the EBA Technical Standard on Leverage Ratio reporting: https://www.eba.europa.eu/-/eba-issues-amended-technical-standards-on-leverage-ratio-disclosure-and-reporting.