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. |