Stress Test Data Framework Dictionary 2021: Version 02

LeverageItem

Enumeration Definition
(-) Asset amount deducted - Tier 1 - fully phased-in definition Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Cash balances at central banks Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Eligible cash variation margin received offset against derivatives market value Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Eligible purchased credit derivatives offset against written credit derivatives Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exempted CCP leg of client-cleared SFT exposures Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exempted CCP leg of client-cleared trade exposures (initial margin) Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exempted CCP leg of client-cleared trade exposures (original exposure method) Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exempted CCP leg of client-cleared trade exposures (replacement costs) Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Exposures exempted in accordance with Article 429 (14) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Fiduciary assets Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
(-) Receivables for cash variation margin provided in derivatives transactions Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Adjustments for SFT sales accounting transactions Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
AT1 capital with < 7% CET1 trigger Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Capped notional amount of written credit derivatives Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Counterparty credit risk of SFT agent transactions in accordance with Article 429b (6) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Derivatives: Add-on under the mark-to-market method Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Derivatives: Current replacement cost Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Derogation for derivatives: original exposure method Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Derogation for SFTs: Add-on in accordance with Article 429b (4) and 222 of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Gross up for derivatives collateral provided Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Leverage Ratio - using a fully phased-in definition of Tier 1 capital Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Leverage Ratio - using a fully phased-in definition of Tier 1 capital excluding AT1 capital with < 7% CET1 trigger Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Off-balance sheet items with a 10% CCF in accordance with Article 429 (10) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Off-balance sheet items with a 100% CCF in accordance with Article 429 (10) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Off-balance sheet items with a 20% CCF in accordance with Article 429 (10) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Off-balance sheet items with a 50% CCF in accordance with Article 429 (10) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Other assets Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
SFTs: Add-on for counterparty credit risk Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
SFTs: Exposure in accordance with Article 429 (5) and 429 (8) of the CRR Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Tier 1 capital - fully phased-in definition Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Tier 1 capital - fully phased-in definition excluding AT1 capital with < 7% CET1 trigger Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Total Leverage Ratio Buffer Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681
Total Leverage Ratio exposure - using a fully phased-in definition of Tier 1 capital Please see the PRA rule book http://www.prarulebook.co.uk/rulebook/Content/Part/319681