Stress Test Data Framework Dictionary 2021: Version 02

Definitions

Definition Name Definition Field Name
Accountbalance Either the drawn balance of a revolving credit facility or the balance of a deposit account. [FinancialSectorExposures][Demand_exposures][Account balance]
AccountingBalance The amount of a balance sheet item as defined by statutory accounting standards as of end of the period under consideration. e.g. the carrying amount of an asset as per IAS 36 or fair value of revenue as per IAS 18. [BalanceSheetProjections][ALM_balance_sheet][Accounting balance]
[StructuralHedge][Maturity_profile][Accounting balance]
[StructuralHedge][Net_interest_income][Accounting balance]
AccountingCVAposthedge Accounting balance of credit valuation adjustments (CVA) net of hedges. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Accounting CVA (post-hedge)]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Accounting CVA (post-hedge)]
AccountingCVAprehedge Accounting balance of credit valuation adjustments (CVA) gross of hedges. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Accounting CVA (pre-hedge)]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Accounting CVA (pre-hedge)]
AccountingDesignation The accounting method under which the value of the item is recorded in the firm's financial statements. [CapitalAndOtherProjections][Structured_finance][Accounting designation]
[Intragrouppositions][Intra_group_assets][Accounting designation]
[Intragrouppositions][Intra_group_liabilities][Accounting designation]
[StructuredFinance][Covered_bonds][Accounting designation]
[StructuredFinance][Securitisation_positions][Accounting designation]
AccountingParameter An assumption used in the derivation of the IAS19 liabilities. [CapitalAndOtherProjections][Pensions_parameters][Accounting parameter]
AccountingParameterValue The value of the associated 'accounting parameter' expressed as a decimal. [CapitalAndOtherProjections][Pensions_parameters][Accounting parameter value]
ActualsY0 Actuals Year 0 [RevenuesandCostsIBD][Core][Actuals Y0]
[RevenuesandCostsIBD][Core_subset][Actuals Y0]
[RevenuesandCostsIBD][Core_subset_granular][Actuals Y0]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Actuals Y0]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Actuals Y0]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Actuals Y0]
[RevenuesandCostsIBD][Core_subset_granular_UK][Actuals Y0]
[RevenuesandCostsIBD][Non_core][Actuals Y0]
[RevenuesandCostsIBD][Reconciliations][Actuals Y0]
ActualsYminus1 Actuals Year -1 [RevenuesandCostsIBD][Core][Actuals Y-1]
[RevenuesandCostsIBD][Core_subset][Actuals Y-1]
[RevenuesandCostsIBD][Core_subset_granular][Actuals Y-1]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Actuals Y-1]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Actuals Y-1]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Actuals Y-1]
[RevenuesandCostsIBD][Core_subset_granular_UK][Actuals Y-1]
[RevenuesandCostsIBD][Non_core][Actuals Y-1]
ActualsYminus2 Actuals Year -2 [RevenuesandCostsIBD][Core][Actuals Y-2]
[RevenuesandCostsIBD][Core_subset][Actuals Y-2]
[RevenuesandCostsIBD][Core_subset_granular][Actuals Y-2]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Actuals Y-2]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Actuals Y-2]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Actuals Y-2]
[RevenuesandCostsIBD][Core_subset_granular_UK][Actuals Y-2]
[RevenuesandCostsIBD][Non_core][Actuals Y-2]
Additionalinformation Relevant additional information. [Other_Fair_Valued_Items_Projections][OFVI_projections][Additional information]
Additionalinformationreconciliations Please then provide a brief description of the decomposed item or any assumptions applied. [RevenuesandCostsIBD][Reconciliations][Additional information]
Aggregationbucket Data is to be reported at an overall portfolio level and then broken down into one of the defined "buckets". Please refer to the template guidance for the definition of the buckets. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Aggregation bucket]
ALMassetliabilityclass A low-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [BalanceSheetProjections][ALM_balance_sheet][ALM asset liability class]
ALMassetliabilityclassheader A mid-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [BalanceSheetProjections][ALM_balance_sheet][ALM asset liability class header]
ALMinterestrateofferperiod The period for which the interest rate of the product was contractually fixed at origination. [BalanceSheetProjections][ALM_balance_sheet][ALM interest rate offer period]
ALMinterestratesensitivity The sensitivity of the pricing of deposits to changes in external interest rates. [AssetLiabilityManagement][Non_traded_market_risk][ALM interest rate sensitivity]
[BalanceSheetProjections][ALM_balance_sheet][ALM interest rate sensitivity]
ALMLTVband A loan-to-value band. The value reported should be based on the indexed loan-to-value at the reporting date. New business should be based on LTV at origination. As a simplifying assumption the LTV band for legacy products should then be assumed to remain constant until maturity. [BalanceSheetProjections][ALM_balance_sheet][ALM LTV band]
ALMproducttype A classification of products used for ALM balance sheet purposes. [BalanceSheetProjections][ALM_balance_sheet][ALM product type]
ALMreferencerate A sub-category of reference rate type which specifies the reference rate used to price balance sheet and off-balance sheet items. [BalanceSheetProjections][ALM_balance_sheet][ALM reference rate]
Amortisation Field to indicate whether the facility is interest-only/bullet or whether it is amortising, and if available, the degree of amortisation. If the firm’s systems only carry an indicator of whether the facility is interest-only or amortising, then fill in variable with either ‘Interest only’ or ‘Amortising’. If the firm’s systems carry information on the degree of amortisation, then fill in with the expected value of loan at maturity. This means for fully amortising loans, fill in as 0. For partially amortising, fill in as the expected value of the bullet repayment at the end of the loan. Otherwise for interest only, fill in as ‘Interest only’. [UKCorporateExposures][UK_corporate_exposures][Amortisation]
Arrearsband Banding of exposures by their months in arrears at the reporting date. [IFRSNineActuals][Wholesale_arrears_migrations][Arrears band wholesale]
[IFRSNineActuals][Wholesale_provisions][Arrears band wholesale]
[IFRSNineActuals][Wholesale_risk_measures][Arrears band wholesale]
ArrearsbandatT1 Banding of exposures by their months in arrears at one quarter prior to the reporting date. For the first reporting period, please provide the historical data you have available (subject to internal parallel runs of IAS 39 and IFRS 9 impairment calculations). If this is unavailable, then please provide the information for the current period “T” only, and continue to build a “history” in future collections. Please use “unknown” in this case”. [IFRSNineActuals][Wholesale_arrears_migrations][Arrears band wholesale at T-1]
ArrearsBandbyMIA A banding of retail mortgage accounts by the number of months an account is in arrears. [IFRSNineActuals][Retail_secured_vintage][Arrears band by MIA]
[IFRSNineActuals][Retail_unsecured_vintage][Arrears band by MIA]
[RetailMortgageCredit][LTV_arrears_MIA][Arrears band by MIA]
ArrearsBandbyPIA A banding of retail mortgage accounts by the percentage of the amount due that has not been received by the specified date. [RetailMortgageCredit][LTV_arrears_PIA][Arrears band by PIA]
ArrearsBandMixed A grouping of retail mortgage accounts that represent all accounts, or only those accounts that exceed a lower bound for months in arrears or percentage in arrears. [RetailMortgageCredit][Vintage_analysis][Arrears band mixed]
AssetClass A defined grouping of assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [CapitalAndOtherProjections][Comments][Asset class]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Asset class]
[IFRSNineProjections][IFRS9_impact][Asset class]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][Asset class]
Assetliabilityclassretailcards A classification of assets or liabilities used in a 'cards' context. [BalanceSheetProjections][Cards_other_income][Asset liability class retail cards]
Assetliabilityclassretailotherincome A classification of assets or liabilities used in an 'other income' context. [BalanceSheetProjections][Other_income_details][Asset liability class retail other income]
AssetReconciliationAmount A monetary amount associated with an asset reconciliation Item. [CapitalAndOtherProjections][Pensions_assets_recon][Asset reconciliation amount]
AssetReconciliationItem A classification of items in the reconciliation of movements in assets in a pension scheme in accordance with IAS19 paragraphs 140 - 141. [CapitalAndOtherProjections][Pensions_assets_recon][Asset reconciliation item]
Assumptionitem A list of assumption items. [IFRSNinetransitionals][Assumptions][Assumption item]
Attachmentpointoftranche The lower bound of the tranche range, determined in accordance with Article 256. [CapitalAndOtherProjections][Structured_finance][Attachment point of tranche]
[StructuredFinance][Securitisation_positions][Attachment point of tranche]
AverageBalance The average volume of the item over the time interval of interest calculation. [BalanceSheetProjections][ALM_balance_sheet][Average balance]
[UK_Capital_Impact_Projections][UKCI_balance_sheet][Average balance]
Averagerecoveryraterealisedsalepriceasofmarketvaluation The average recovery rate calculated as the realised the total sale price as a percentage of market valuation of the properties sold during the period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Average recovery rate, realised sale price as % of market valuation]
Balance Refers to drawn balance but typically used in combination with other terms. For example, balance up-to-date refers to the portion of an exposures' drawn balance that is not in arrears. It could also refer to the value of a balance sheet or P&L item. This can also be used in the context of a balance sheet item; this is used to capture the balance sheet position. [CapitalAndOtherProjections][Capital_resources][Balance]
[CapitalAndOtherProjections][Capital_results_summary][Balance]
[CapitalAndOtherProjections][EL-P_reconciliation][Balance]
[CapitalAndOtherProjections][Leverage][Balance]
[CapitalAndOtherProjections][Maximum_distributable_amount][Balance]
[CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Balance]
[Capitaltransitionals][Capital_resources][Balance]
[Capitaltransitionals][EL-P_reconciliation][Balance]
[Capitaltransitionals][Leverage][Balance]
[IFRSNinetransitionals][Assumptions][Balance]
[MRELresources][MREL_resources][Balance]
[OtherCapitalProjections][Capital_evolution][Balance]
[OtherCapitalProjections][FX_capital_resources][Balance]
[OtherCapitalProjections][FX_leverage][Balance]
[OtherCapitalProjections][Leverage_exposure][Balance]
[OtherCapitalProjections][Performance_based_compensation][Balance]
[UK_Capital_Impact_Projections][UKCI_leverage][Balance]
Balanceatbeginningofperiod Balance at the beginning of the period. [BalanceSheetProjections][Market_volumes_UK_only][Balance at beginning of period]
Balanceatendofperiod Balance at the end of the period. [BalanceSheetProjections][Market_volumes_UK_only][Balance at end of period]
BalanceChargedOff Total amount of loan charged off during the specified month, where relevant, e.g. early recognition of future expected losses through the partial write-down of mortgage exposures. [RetailMortgageCredit][Trended_other][Balance charged off]
Balanceofdelinquentloansgreaterthan6MIA The balance of loans greater than 6 months in arrears. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of delinquent loans greater than 6 MIA]
Balanceofnewdelinquentloansthatbecamegreaterthan6MIAinperiod Irrespective of how loans are classified as ‘delinquent’ by individual firms, this number is intended to capture the balance of loans that became greater than 6 months in arrears in the stated period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of new delinquent loans that became greater than 6 MIA in period]
Balanceofnewrepossessionsinperiod The value of the flow of new repossessions in the period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of new repossessions in period]
BalanceofPropertiesInPossession The balance of the properties that are in possession as of the end of the period under consideration (stock). [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Balance of properties in possession]
BalanceSheetCurrency The currency in which the balances are held. The scope of currencies to be reported is firm specific and needs to be agreed as part of the scoping discussions. [AssetLiabilityManagement][Non_traded_market_risk][Balance sheet currency]
[BalanceSheetProjections][ALM_balance_sheet][Balance sheet currency]
[StructuralHedge][Maturity_profile][Balance sheet currency]
[StructuralHedge][Net_interest_income][Balance sheet currency]
BalanceSheetHeaderALM A high-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [AssetLiabilityManagement][Non_traded_market_risk][Balance sheet header]
[BalanceSheetProjections][ALM_balance_sheet][Balance sheet header]
Balancesheetitemmarketvolumelevel1 Balance Sheet header level 1 as per FINREP in the market volumes UK context. [BalanceSheetProjections][Market_volumes_UK_only][Balance sheet item market volume level 1]
Balancesheetitemmarketvolumelevel2 Balance Sheet header level 2 as per FINREP in the market volumes UK context. [BalanceSheetProjections][Market_volumes_UK_only][Balance sheet item market volume level 2]
Balancesheetitemmarketvolumelevel3 Balance Sheet header level 3 as per FINREP in the market volumes UK context. [BalanceSheetProjections][Market_volumes_UK_only][Balance sheet item market volume level 3]
BalanceSheetItemNTMR A composite balance sheet breakdown item. [AssetLiabilityManagement][Non_traded_market_risk][Balance sheet item]
BalanceweightedaverageindexedLTV The average LTV for a given set of loans, weighted by each loan’s drawn balance. [RetailMortgageCredit][Trended_other][Balance weighted average indexed LTV]
Balanceweightedaverageinterestrate The average interest rate for a set of retail mortgage products weighted by the drawn balance of each account. It should ignore the effect of any interest rate swaps or other hedging contracts that might exist, and also ignore the effect of any offsetting deposit account (as for example in the case of an offset mortgage). The weighted average rate should be derived as follows: (i) identify the various nominal/quoted interest rates that apply to elements of the portfolio; then (ii) for each separate nominal/quoted rate, multiply that rate by the amount of end quarter balances (excluding accrued interest) for which that rate applies; and (iii) add up the results of (ii) for all the different rates for this portfolio; and (iv) divide the total calculated in (iii) by the corresponding end quarter balance in column 1, 2 or 3 less accrued interest. [RetailMortgageCredit][LTV_repayment][Balance weighted average interest rate]
Balanceweightedinterestrate This should be the average interest yield which is actually being achieved for the book (not the advertised rate) weighted by the drawn balances of accounts. [IFRSNineActuals][Retail_secured_RWA][Balance weighted interest rate]
[IFRSNineActuals][Retail_unsecured_RWA][Balance weighted interest rate]
BaselApproach Refers to the methods of calculating the credit risk capital component as set out in CRR Part 3 Title II Chapters 2&3. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Basel approach]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Basel approach]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Basel approach]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Basel approach]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Basel approach]
[FVORWA][RWA][Basel approach]
[IFRSNineActuals][Retail_secured_RWA][Basel approach]
[IFRSNineActuals][Retail_unsecured_RWA][Basel approach]
[IFRSNineActuals][Wholesale_arrears_migrations][Basel approach]
[IFRSNineActuals][Wholesale_rating_migrations][Basel approach]
[IFRSNineActuals][Wholesale_risk_measures][Basel approach]
[IFRSNineActuals][Wholesale_stage_migrations][Basel approach]
[IFRSNineProjections][IFRS9_impact][Basel approach]
[RetailExcludingMortgageCredit][RWA][Basel approach]
[RetailMortgageCredit][RWA][Basel approach]
[UKCorporateExposures][UK_corporate_exposures][Basel approach]
BaselineprojectionY1 Baseline projection Year 1 [RevenuesandCostsIBD][Core][Baseline projection Y1]
[RevenuesandCostsIBD][Core_subset][Baseline projection Y1]
[RevenuesandCostsIBD][Core_subset_granular][Baseline projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Baseline projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Baseline projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Baseline projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_UK][Baseline projection Y1]
[RevenuesandCostsIBD][Non_core][Baseline projection Y1]
[RevenuesandCostsIBD][Reconciliations][Baseline projection Y1]
BaselineprojectionY2 Baseline projection Year 2 [RevenuesandCostsIBD][Core][Baseline projection Y2]
[RevenuesandCostsIBD][Core_subset][Baseline projection Y2]
[RevenuesandCostsIBD][Core_subset_granular][Baseline projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Baseline projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Baseline projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Baseline projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_UK][Baseline projection Y2]
[RevenuesandCostsIBD][Non_core][Baseline projection Y2]
[RevenuesandCostsIBD][Reconciliations][Baseline projection Y2]
BaselineprojectionY3 Baseline projection Year 3 [RevenuesandCostsIBD][Core][Baseline projection Y3]
[RevenuesandCostsIBD][Core_subset][Baseline projection Y3]
[RevenuesandCostsIBD][Core_subset_granular][Baseline projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Baseline projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Baseline projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Baseline projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_UK][Baseline projection Y3]
[RevenuesandCostsIBD][Non_core][Baseline projection Y3]
[RevenuesandCostsIBD][Reconciliations][Baseline projection Y3]
BaselineprojectionY4 Baseline projection Year 4 [RevenuesandCostsIBD][Core][Baseline projection Y4]
[RevenuesandCostsIBD][Core_subset][Baseline projection Y4]
[RevenuesandCostsIBD][Core_subset_granular][Baseline projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Baseline projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Baseline projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Baseline projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_UK][Baseline projection Y4]
[RevenuesandCostsIBD][Non_core][Baseline projection Y4]
[RevenuesandCostsIBD][Reconciliations][Baseline projection Y4]
BaselineprojectionY5 Baseline projection Year 5 [RevenuesandCostsIBD][Core][Baseline projection Y5]
[RevenuesandCostsIBD][Core_subset][Baseline projection Y5]
[RevenuesandCostsIBD][Core_subset_granular][Baseline projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Baseline projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Baseline projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Baseline projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_UK][Baseline projection Y5]
[RevenuesandCostsIBD][Non_core][Baseline projection Y5]
[RevenuesandCostsIBD][Reconciliations][Baseline projection Y5]
Basisofpreparationquestion The question reference in the Basis of preparation. This should appear in the template exactly as it does in the Basis of preparation. [Basisofpreparationindex][Actuals_index][Basis of preparation question]
[Basisofpreparationindex][Projections_index][Basis of preparation question]
Basisofpreparationreference Refers to the reference in the answer to the basis of preparation question where further information is provided on each illiquid position. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Basis of preparation reference]
Basisofreporting Pre or post management actions. [OtherCapitalProjections][Performance_based_compensation][Basis of reporting]
BAUmanagementaction Defines any business as usual management action. [Other_Fair_Valued_Items_Projections][OFVI_projections][Business as usual management action]
BehaviouralisedBalance See 'Accounting Balance'. This should then be shown based on the expected re-pricing profile. This profile should reflect the impact of unscheduled payments, such as prepayments. Profiles should be estimated for products with no contractual maturity such as current accounts, credit cards or capital. [AssetLiabilityManagement][Non_traded_market_risk][Behaviouralised balance]
BenefitPayments The value of benefit payments out of the scheme. [PensionsRisk][Pensions_cash_flow][Benefit payments]
BoEorfirmdefinedshock Represents the shock, BoE defined or firm defined [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][BoE or firm defined shock]
Bookinglegalentity The legal entity identifier of the entity that the exposure is booked to within the reporting group. [FinancialSectorExposures][Demand_exposures][Booking legal entity]
[FinancialSectorExposures][Term_exposures][Booking legal entity]
[Shorttermfunding][Secured_lending][Booking legal entity]
[TradeableSecurities][Tradeable_securities][Booking legal entity]
BookType The book used for accounting purposes. This indicates whether the book is a trading or a non-trading book. [CapitalAndOtherProjections][Structured_finance][Book type]
[Stressed_PVA_Projections][Closeout_cost_uncertainty][Book type]
[Stressed_PVA_Projections][Concentrated_position][Book type]
[Stressed_PVA_Projections][Investing_and_funding][Book type]
[Stressed_PVA_Projections][Market_price_uncertainty][Book type]
[Stressed_PVA_Projections][Model_risk][Book type]
[Stressed_PVA_Projections][Totals][Book type]
[Stressed_PVA_Projections][Unearned_credit_spreads][Book type]
[StructuredFinance][Covered_bonds][Book type]
[StructuredFinance][Securitisation_positions][Book type]
CallDate The date on which an instrument can be redeemed before maturity. If there is no call date for the instrument, please leave unpopulated. [WholesaleIssuanceProjections][Wholesale_issuance][Call date]
Capitalandbalancesheetprojectionsfieldslevel1 Represents a line in the relevant group template. [RevenuesandCostsIBD][Reconciliations][Capital and balance sheet projections (Group) level 1]
Capitalandbalancesheetprojectionsfieldslevel2 Represents a line in the relevant group template. [RevenuesandCostsIBD][Reconciliations][Capital and balance sheet projections (Group) level 2]
Capitalandbalancesheetprojectionsfieldslevel3 Represents a line in the relevant group template. [RevenuesandCostsIBD][Reconciliations][Capital and balance sheet projections (Group) level 3]
Capitalevolutionitemlevel1 A high-level heading for capital evolution. [OtherCapitalProjections][Capital_evolution][Capital evolution item level 1]
Capitalevolutionitemlevel2 A mid-level heading for capital evolution. [OtherCapitalProjections][Capital_evolution][Capital evolution item level 2]
Capitalevolutionitemlevel3 A low-level heading for capital evolution. [OtherCapitalProjections][Capital_evolution][Capital evolution item level 3]
Capitalmeasureitemlevel1 Capital measure header item. [OtherCapitalProjections][FX_capital_resources][Capital measure item level 1]
CapitalRequirementCalculationApproachCoveredBond Capital Requirement calculation method used to calculate Risk Weighted Assets [StructuredFinance][Covered_bonds][Capital requirement calculation approach]
CapitalRequirementCalculationApproachSecuritisationPositions Capital Requirement calculation method used to calculate Risk Weighted Assets [StructuredFinance][Securitisation_positions][Capital requirement calculation approach]
Capitalrequirementitemlevel1 A heading for the breakdown by type of risk of capital requirements. [CapitalAndOtherProjections][Capital_requirements][Capital requirement item level 1]
[Capitaltransitionals][Capital_requirements][Capital requirement item level 1]
Capitalrequirementitemlevel2 A lower level heading for the breakdown of capital requirements. [CapitalAndOtherProjections][Capital_requirements][Capital requirement item level 2]
[Capitaltransitionals][Capital_requirements][Capital requirement item level 2]
Capitalresourceitemlevel1 A high-level heading for capital resources. [CapitalAndOtherProjections][Capital_resources][Capital resource item level 1]
[Capitaltransitionals][Capital_resources][Capital resource item level 1]
Capitalresourceitemlevel2 A mid-level heading for capital resources. [CapitalAndOtherProjections][Capital_resources][Capital resource item level 2]
[Capitaltransitionals][Capital_resources][Capital resource item level 2]
Capitalresourceitemlevel3 A low-level heading for capital resources. [CapitalAndOtherProjections][Capital_resources][Capital resource item level 3]
[Capitaltransitionals][Capital_resources][Capital resource item level 3]
Capitalresultssummaryitem A heading or entry in the summary of projected capital amounts. [CapitalAndOtherProjections][Capital_results_summary][Capital results summary item]
Capitaltieritem A high level capital tier item. [OtherCapitalProjections][Impact_of_issuance_in_stress][Capital tier item]
Cardproducttype A classification of card products. [BalanceSheetProjections][Cards_other_income][Card product type]
CarryingAmount The amount attributable to the balance sheet / P&L. [BalanceSheetProjections][Profit_or_loss_business_line][Carrying amount]
[BalanceSheetProjections][Profit_or_loss_group_only][Carrying amount]
[CapitalAndOtherProjections][Pensions_balance_sheet][Carrying amount]
[Feesandcostsconstantcurrency][Profit_or_loss_group_only][Carrying amount]
[UK_Capital_Impact_Projections][UKCI_profit_or_loss][Carrying amount]
CCEforcollateralisedderivativenettingsets Collateralised current exposure (CCE) for collateralised derivative netting sets. CCE for collateralised derivative netting sets is the current exposure taking into account legally enforceable counterparty netting and collateral received or posted to the counterparty. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][CCE for collateralised derivative netting sets]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][CCE for collateralised derivative netting sets]
CCEforSFTnettingsets Collateralised current exposure (CCE) for Securities Financing Transactions (SFT) nettings sets, which is the exposure taking into account legally enforceable netting within SFT netting sets. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][CCE for SFT netting sets]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][CCE for SFT netting sets]
CCEforuncollateralisedderivativenettingsets For uncollateralised derivative netting sets, the collateralised current exposure (CCE) is equal to "UCE for uncollateralised derivative netting sets" defined above, because no collateral is received or posted. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][CCE for uncollateralised derivative netting sets]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][CCE for uncollateralised derivative netting sets]
CCPdefaultfundcontribution The firm's contribution to Central Counterparties (CCP) default funds where relevant. Default fund is as defined under CRR Article 4 (89) [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][CCP default fund contribution]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][CCP default fund contribution]
CCRriskweightcalculationmethod A method or approach used to calculate risk weights for bilateral counterparties or to calculate risk weights for CCP default fund exposures (for those firms that include CCP default fund contributions in their counterparty credit risk). [CounterpartycreditriskRWA][CCR_RWAs][CCR risk weight calculation method]
Centralbankfacilitiescostofdrawnbp Cost of drawing (bp) of all drawn central bank facilities (provide weighted average where there is more than one). [Liquidity][Liquidity_ratios][Central bank facilities cost of drawn (bp)]
CentralbankfacilitiesIdentityofdrawn Name of central bank facility / facilities assumed to be drawn down against. [Liquidity][Liquidity_ratios][Central bank facilities Identity of drawn]
Centralbankfacilityamountofdrawingsoutstanding Total amount outstanding from drawings of central bank facility or facilities (across all central banks). [Liquidity][Liquidity_ratios][Central bank facility amount of drawings outstanding]
Changeincollateralduetoanyotherfactors The change in collateral flows as a result of the near term shock included within the traded stress due to any other factors. [Liquidity][Liquidity_ratios][Change in collateral due to any other factors]
Changeincollateralduetoinitialmargin The change in collateral flows as a result of the near term shock included within the traded stress due to initial margin. [Liquidity][Liquidity_ratios][Change in collateral due to initial margin]
Changeincollateralduetopaymentsandsettlements The change in collateral flows as a result of the near term shock included within the traded stress due to payments and settlements. [Liquidity][Liquidity_ratios][Change in collateral due to payments and settlements]
Changeincollateralduetovariationmargin The change in collateral flows as a result of the near term shock included within the traded stress due to variation margin. [Liquidity][Liquidity_ratios][Change in collateral due to variation margin]
Changeincollateralflows The change in collateral flows as a result of the near term shock included within the traded stress. [Liquidity][Liquidity_ratios][Change in collateral flows]
ChangeinHQLAduetoanyotherfactors The change in high quality liquid assets due to any other factors as a result of the near term shock included within the traded stress. [Liquidity][Liquidity_ratios][Change in HQLA due to any other factors]
ChangeinHQLAduetocollateralflows The change in high quality liquid assets due to collateral flows as a result of the near term shock included within the traded stress. [Liquidity][Liquidity_ratios][Change in HQLA due to collateral flows]
ChangeinHQLAduetomarktomarketmovements The change in value of high quality liquid assets due to mark to market movements on liquid assets as a result of the near term shock included within the traded stress. [Liquidity][Liquidity_ratios][Change in HQLA due to mark to market movements]
Changeinprovisionsbalance Please enter the change in the provisions balance, under IFRS9 this should equal the quarter on quarter change in Expected Credit Loss. [IFRSNineActuals][Secured_PD_migrations][Change in provisions balance]
[IFRSNineActuals][Secured_stage_migrations][Change in provisions balance]
[IFRSNineActuals][Unsecured_PD_migrations][Change in provisions balance]
[IFRSNineActuals][Unsecured_stage_migrations][Change in provisions balance]
[IFRSNineActuals][Wholesale_arrears_migrations][Change in provisions balance]
[IFRSNineActuals][Wholesale_rating_migrations][Change in provisions balance]
[IFRSNineActuals][Wholesale_stage_migrations][Change in provisions balance]
Classificationofcounterpartyunderstressscenario Classification of counterparty as "collateralised" or "uncollateralised" under the Traded Risk stress scenario. Values can be either "Collateralised" or "Uncollateralised". [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Classification of counterparty under stress scenario]
CleanMarketValue The market valuation of the line item, not including accrued interest, in the units of the reporting currency. Synthetic positions should have their market value expressed as if funded rather than unfunded. For example, a sale of 10mm protection which is 1mm out of the money is reported as 9mm; the same example but 1mm in the money is reported as 11mm. Conversely, with a purchase of protection that would be reported as -10mm notional, it is -11mm market value when 1mm out of the money, and -9mm market value when 1mm in the money. [FVORWA][RWA][Clean market value]
[StructuredFinance][Covered_bonds][Clean market value]
[StructuredFinance][Securitisation_positions][Clean market value]
CloseoutcostuncertaintyAVA The amount of AVA related to Close Out Cost Uncertainty as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Closeout_cost_uncertainty][Close-out cost uncertainty AVA]
[Stressed_PVA_Projections][Investing_and_funding][Close-out cost uncertainty AVA]
[Stressed_PVA_Projections][Totals][Close-out cost uncertainty AVA]
[Stressed_PVA_Projections][Unearned_credit_spreads][Close-out cost uncertainty AVA]
Collateraldatalevel1 This represents the level at which collateral data is to be provided. Data is to be reported at an aggregate level and then broken down by collateral type as defined by the drop-down menu in the template. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Collateral data level 1]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Collateral data level 1]
Collateralforsecuredlending The collateral provided for all secured lending or reverse repo transactions. [Shorttermfunding][Secured_lending][Collateral for secured lending]
CollateralHQLAeligibility The high quality liquid asset eligibility of the collateral, this is described in more detail here https://www.bis.org/publ/bcbs238.pdf. [Shorttermfunding][Secured_lending][Collateral HQLA eligibility]
Collaterallegalenforcement The legal powers relevent to the enforcement of the collateral holdings on event of default of the loan. [Shorttermfunding][Secured_lending][Collateral legal enforcement]
Comment The comment made by the firm in relation to the rule or context of the respective template. [AssetLiabilityManagement][Comments][Comment]
[BalanceSheetProjections][Comments][Comment]
[CapitalAndOtherProjections][Comments][Comment]
[Capitaltransitionals][Comments][Comment]
[CorporateSovereignFinInstCreditRisk][Comments][Comment]
[Counterparty_Credit_Risk_Losses_Projections][Comments][Comment]
[CounterpartycreditriskRWA][Comments][Comment]
[Feesandcostsconstantcurrency][Comments][Comment]
[FinancialSectorExposures][Comments][Comment]
[FVORWA][Comments][Comment]
[IFRSNineActuals][Comments][Comment]
[IFRSNineProjections][Comments][Comment]
[IFRSNinetransitionals][Comments][Comment]
[Intragrouppositions][Comments][Comment]
[Liquidity][Comments][Comment]
[Market_Risk_Stressed_ProfitorLoss_Projections][Comments][Comment]
[MarketriskandCVARWA][Comments][Comment]
[MaterialMisconductCostsActuals][Comments][Comment]
[MaterialMisconductCostsProjections][Comments][Comment]
[Modeladjustments][Comments][Comment]
[Modelriskmanagement][Comments][Comment]
[MRELresources][Comments][Comment]
[OperationalRisk][Comments][Comment]
[Other_Fair_Valued_Items_Projections][Comments][Comment]
[OtherCapitalProjections][Comments][Comment]
[Pensioncurrencyhedge][Comments][Comment]
[PensionsRisk][Comments][Comment]
[RetailExcludingMortgageCredit][Comments][Comment]
[RetailMortgageCredit][Comments][Comment]
[RetailProjections][Comments][Comment]
[RevenuesandCostsIBD][Comments][Comment]
[Shorttermfunding][Comments][Comment]
[Stressed_PVA_Projections][Comments][Comment]
[Stressed_XVA_Projections][Comments][Comment]
[StructuralHedge][Comments][Comment]
[StructuredFinance][Comments][Comment]
[TradeableSecurities][Comments][Comment]
[UK_Capital_Impact_Projections][Comments][Comment]
[UKCorporateExposures][Comments][Comment]
[WholesaleIssuanceProjections][Comments][Comment]
CommentsondifferentbetweenCSTandICAAPresults Please provide explanation on any material differences between the Stress test and ICAAP numbers. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Comments on different between CST and ICAAP results]
CommittedLimit 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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Committed Limit]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Committed Limit]
[RetailMortgageCredit][LTV_repayment][Committed limit]
[UKCorporateExposures][UK_corporate_exposures][Committed limit]
CompanieshouseID Companies House company registration number (CRN). [CorporateSovereignFinInstCreditRisk][Large_exposures][Companies house ID]
Companieshouseregistrationnum The registration number of the obligor at companies house. If this is unavailable as the exposures are pooled exposures of <£250k and so cannot be matched, please enter Loan pool. If neither the companies house registration number or the Loan pool example apply, please provide the full name of the obligor. Completion of this item is mandatory. [UKCorporateExposures][UK_corporate_exposures][Companies house registration number]
ConcentratedpositionsAVA The amount of AVA related to Concentrated Positions as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Concentrated_position][Concentrated positions AVA]
[Stressed_PVA_Projections][Totals][Concentrated positions AVA]
Constantordynamiccurrency Either the Constant (fixed currency) or Dynamic (rate which moves) type of currency. [OtherCapitalProjections][FX_capital_resources][Constant or dynamic currency]
[OtherCapitalProjections][FX_leverage][Constant or dynamic currency]
[OtherCapitalProjections][FX_RWA][Constant or dynamic currency]
Context The sheet name within the STDF template of which the data item is being referenced. [AssetLiabilityManagement][Comments][Context]
[BalanceSheetProjections][Comments][Context]
[CapitalAndOtherProjections][Comments][Context]
[Capitaltransitionals][Comments][Context]
[CorporateSovereignFinInstCreditRisk][Comments][Context]
[Counterparty_Credit_Risk_Losses_Projections][Comments][Context]
[CounterpartycreditriskRWA][Comments][Context]
[Feesandcostsconstantcurrency][Comments][Context]
[FinancialSectorExposures][Comments][Context]
[FVORWA][Comments][Context]
[IFRSNineActuals][Comments][Context]
[IFRSNineProjections][Comments][Context]
[IFRSNinetransitionals][Comments][Context]
[Intragrouppositions][Comments][Context]
[Liquidity][Comments][Context]
[Market_Risk_Stressed_ProfitorLoss_Projections][Comments][Context]
[MarketriskandCVARWA][Comments][Context]
[MaterialMisconductCostsActuals][Comments][Context]
[MaterialMisconductCostsProjections][Comments][Context]
[Modeladjustments][Comments][Context]
[Modelriskmanagement][Comments][Context]
[MRELresources][Comments][Context]
[OperationalRisk][Comments][Context]
[Other_Fair_Valued_Items_Projections][Comments][Context]
[OtherCapitalProjections][Comments][Context]
[Pensioncurrencyhedge][Comments][Context]
[PensionsRisk][Comments][Context]
[RetailExcludingMortgageCredit][Comments][Context]
[RetailMortgageCredit][Comments][Context]
[RetailProjections][Comments][Context]
[RevenuesandCostsIBD][Comments][Context]
[Shorttermfunding][Comments][Context]
[Stressed_PVA_Projections][Comments][Context]
[Stressed_XVA_Projections][Comments][Context]
[StructuralHedge][Comments][Context]
[StructuredFinance][Comments][Context]
[TradeableSecurities][Comments][Context]
[UK_Capital_Impact_Projections][Comments][Context]
[UKCorporateExposures][Comments][Context]
[WholesaleIssuanceProjections][Comments][Context]
ControlType Source: A data item from the STDF data item reference. Reconciling item: Reasons for difference between source(s) and target(s). Firms must describe all unreconciled differences with meaningful and justifiable descriptions. Target: An STDF or external target. [Reconciliations][Reconciliations][Control type]
Costofaccrualfundingbasis The estimated total cost of accrual for the scheme on the funding basis at the reporting date, expressed as a proportion of the pensionable payroll. In line with the typical convention for trustees’ valuations, this should be expressed as the cost including member contributions. [PensionsRisk][Pensions_parameters][Cost of accrual funding basis]
CostofaccrualIASbasis The cost of accruing benefits in the scheme on an IAS basis, expressed as an average proportion of pensionable pay. When multiplied by the pensionable payroll for the year, this should provide an estimate of the service cost for the coming year. In line with the typical convention for accounting statements, this should be expressed as the cost to the company (i.e. not including member contributions). [PensionsRisk][Pensions_parameters][Cost of accrual IAS basis]
Costofissuance This should be the difference (in bp) to the 3 month LIBOR rate in the relevant currency. [OtherCapitalProjections][Impact_of_issuance_in_stress][Cost of issuance]
CounterpartyConsolidationPerimeter If the counterparty is a regulated bank or a group that contains a regulated bank, the consolidation scope could be "REG: regulatory banking group", "accounting group" (one line each), or the name of a connected entity and its corresponding unique ID separated by a hyphen (one line for each entity; if available use the LEI as the unique ID). For all other counterparty types, it is "ACC: accounting group" or the name of a connected entity and its unique ID separated by a hyphen. [Shorttermfunding][Funding][Counterparty Consolidation Perimeter]
Counterpartycreditrisklossesgeographicregion Geographical region of the legal entity [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Geographic region]
[Counterparty_Credit_Risk_Losses_Projections][Default_loss][Geographic region]
[Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Geographic region]
Counterpartycreditrisksector Sector classification of the legal entity [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Counterparty credit risk sector]
[Stressed_PVA_Projections][Investing_and_funding][Counterparty credit risk sector]
[Stressed_PVA_Projections][Unearned_credit_spreads][Counterparty credit risk sector]
Counterpartycreditrisktype A classification of exposures used for a breakdown of counterpart credit risk RWA and Expected Loss figures. Exposures are reported as the sum of legal netting sets containing one of the specified exposure types. Securities financing transactions are considered to be: repurchase transactions; securities or commodities lending or borrowing transactions; margin lending transactions. [CounterpartycreditriskRWA][CCR_RWAs][Counterparty credit risk type]
[CounterpartycreditriskRWA][Comments][Counterparty credit risk type]
CounterpartyCSA The type of credit support annex (CSA) in place with the client. [Stressed_PVA_Projections][Investing_and_funding][Counterparty CSA]
Counterpartylegalentityidentifier Unique legal entity identifier as allocated under the Regulatory Oversight Committee of the Global Legal Entity Identified System (GLEIS) [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Counterparty legal entity identifier]
[Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Counterparty legal entity identifier]
Counterpartylegalentityname Legal name of counterparty for which data is being provided. Counterparty level data should be provided at the level of counterparty group [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Counterparty legal entity name]
[Counterparty_Credit_Risk_Losses_Projections][Default_loss][Counterparty legal entity name]
[Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Counterparty legal entity name]
CounterpartyLEI Legal Entity Identifier of the counterparty. [FinancialSectorExposures][Demand_exposures][Counterparty LEI]
[FinancialSectorExposures][Term_exposures][Counterparty LEI]
CounterpartyName 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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Counterparty name]
[Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Counterparty name]
Counterpartyrating A credit rating for the identified counterparty that has been assigned by one the major credit rating agencies - i.e. this requires an external credit rating (where possible), otherwise internal credit ratings can be accepted. Avoid using "investment grade" or "non-investment grade" to fill this field. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Counterparty rating]
Counterpartyriskassetclass A grouping of related products with similar characteristics. Please refer to the enumerations defined in the "Stress Testing Data Framework" Dictionary for this tab. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Counterparty risk asset class]
CounterpartySector The institutional sector of the economy that the counterparty lies within. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Counterparty sector]
[Shorttermfunding][Funding][Counterparty Sector]
[Shorttermfunding][Secured_lending][Counterparty Sector]
Counterpartyspecifics If further specification of applicable counterparties is required, specify the name of the counterparty or the rule to be applied – otherwise state ‘All’ [Stressed_XVA_Projections][CVA_breakdown][Counterparty specifics]
Counterpartytype The financial sub-type of counterparty. [FinancialSectorExposures][Demand_exposures][Counterparty type]
[FinancialSectorExposures][Term_exposures][Counterparty type]
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. [BalanceSheetProjections][Cards_other_income][Country of exposure]
[BalanceSheetProjections][Comments][Country of exposure]
[BalanceSheetProjections][Other_expense_details][Country of exposure]
[BalanceSheetProjections][Other_income_details][Country of exposure]
[BalanceSheetProjections][Profit_or_loss_business_line][Country of exposure]
[CapitalAndOtherProjections][Comments][Country of exposure]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Country of exposure]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Comments][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Provisions][Country of exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Country of exposure]
[CounterpartycreditriskRWA][CCR_RWAs][Country of exposure]
[CounterpartycreditriskRWA][Comments][Country of exposure]
[Feesandcostsconstantcurrency][Other_expense_details][Country of exposure]
[Feesandcostsconstantcurrency][Other_income_details][Country of exposure]
[FVORWA][RWA][Country of exposure]
[IFRSNineActuals][Retail_secured_RWA][Country of exposure]
[IFRSNineActuals][Retail_secured_stages][Country of exposure]
[IFRSNineActuals][Retail_secured_vintage][Country of exposure]
[IFRSNineActuals][Retail_unsecured_RWA][Country of exposure]
[IFRSNineActuals][Retail_unsecured_stages][Country of exposure]
[IFRSNineActuals][Retail_unsecured_vintage][Country of exposure]
[IFRSNineActuals][Secured_PD_migrations][Country of exposure]
[IFRSNineActuals][Secured_stage_migrations][Country of exposure]
[IFRSNineActuals][Unsecured_PD_migrations][Country of exposure]
[IFRSNineActuals][Unsecured_stage_migrations][Country of exposure]
[IFRSNineActuals][Wholesale_arrears_migrations][Country of exposure]
[IFRSNineActuals][Wholesale_provisions][Country of exposure]
[IFRSNineActuals][Wholesale_rating_migrations][Country of exposure]
[IFRSNineActuals][Wholesale_risk_measures][Country of exposure]
[IFRSNineActuals][Wholesale_stage_migrations][Country of exposure]
[IFRSNineProjections][IFRS9_impact][Country of exposure]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][Country of exposure]
[RetailExcludingMortgageCredit][Comments][Country of exposure]
[RetailExcludingMortgageCredit][RWA][Country of exposure]
[RetailExcludingMortgageCredit][Trended_arrears][Country of exposure]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Country of exposure]
[RetailExcludingMortgageCredit][Trended_other][Country of exposure]
[RetailMortgageCredit][Arrears][Country of exposure]
[RetailMortgageCredit][Comments][Country of exposure]
[RetailMortgageCredit][LTV_arrears_MIA][Country of exposure]
[RetailMortgageCredit][LTV_arrears_PIA][Country of exposure]
[RetailMortgageCredit][LTV_repayment][Country of exposure]
[RetailMortgageCredit][Repossessions][Country of exposure]
[RetailMortgageCredit][RWA][Country of exposure]
[RetailMortgageCredit][Sales][Country of exposure]
[RetailMortgageCredit][Trended_arrears][Country of exposure]
[RetailMortgageCredit][Trended_collective_provisions][Country of exposure]
[RetailMortgageCredit][Trended_other][Country of exposure]
[RetailMortgageCredit][Vintage_analysis][Country of exposure]
[Shorttermfunding][Funding][Counterparty Nationality]
Countryofissuer This is the country of risk of the issuer of an instrument (equity or debt) [Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Country of issuer]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Country of issuer]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Country of issuer]
Countryoflegalentity A counterparty region or region allocation is to be determined using the “ultimate risk” approach that applies to all credit exposures and as described in the overall guidance document in line with the definition of “Country of Exposure’ of the STDF Dictionary [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Country of legal entity]
CountryofOriginofCoveredBond The jurisdiction under whose legislation the covered bond was originated. [StructuredFinance][Covered_bonds][Country of origin of covered bond]
CountryofOriginofSecuritisedExposures The country of residence of the obligors representing the largest geographic concentration of the securitised exposures. The definition should be consistent with that used for the purposes of the geographical breakdown of exposures in COREP. In line with COREP, should no country exceed a 20% concentration then 'other' may be entered. Other notable concentrations should be clarified within the comments. [StructuredFinance][Significant_risk_transfer][Country of origin of securitised exposures]
CountryofOriginofUnderlyings The country of residence of the obligors representing the largest geographic concentration in the underlying pool. The definition should be consistent with that used for the purposes of the geographical breakdown of exposures in COREP. In line with COREP, should no country exceed a 20% concentration then 'other' may be entered. Other notable concentrations should be clarified within the comments. [StructuredFinance][Securitisation_positions][Country of origin of underlyings]
Countryofsecurityissuers This attribute provides guidance on the country of security issuers for each row respectively. [Other_Fair_Valued_Items_Projections][OFVI_projections][Country of security issuers]
[Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Country of security issuers]
Countryofsovereignbond The country of the sovereign bond if identified as the collateral for secured lending, please do not complete this if collateral for secured lending equals any other value than sovereign bonds. [Shorttermfunding][Secured_lending][Country of sovereign bond]
CountryWhereLossOccurred The country in which the majority of the operational risk loss occurred. [OperationalRisk][Operational_loss_details][Country where loss occurred]
Coverpoolarrearsband180d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 180+d. [StructuredFinance][Covered_bonds][Cover pool arrears band 180+d]
Coverpoolarrearsband1dto90d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 1d to 90d. [StructuredFinance][Covered_bonds][Cover pool arrears band 1d to 90d]
Coverpoolarrearsband91dto180d The percentage (positive percentage values less than 100%) of cover pool assets by the relevant legal national valuation metric in arrears for the durations (days) shown by the banding 91d to 180d. [StructuredFinance][Covered_bonds][Cover pool arrears band 91d to 180d]
Coverpoolassettype A classification of the assets in the cover pool. If there are two types of asset (excluding cash) found in the cover pool, then mixed asset pool should be selected. Asset types should be selected with consideration to Article 129. For reporting SME exposures in cover pools, include exposures to corporates with an annual turnover below £25m and also retail SME exposures. Cash is allowed in mono asset pools. [StructuredFinance][Covered_bonds][Cover pool asset type]
CoverPoolLTVBand60to80 The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=60% to <80%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band greater than or equal to 60% and less than 80%]
CoverPoolLTVBand80to100 The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=80% to <100%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band greater than or equal to 80% and less than 100%]
CoverpoolLTVbandgreaterthanorequalto100 The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band >=100%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band greater than or equal to 100%]
CoverpoolLTVbandlessthan60 The percentage of cover pool assets by the relevant legal national valuation metric found for LTV band <60%. LTV should be calculated in accordance with the relevant legal national framework for each covered bond. [StructuredFinance][Covered_bonds][Cover pool LTV band less than 60%]
CPIInflationfundingbasis The assumed rate of future inflation (measured according to the consumer price index (CPI)) used to calculate figures for liability values on the 'Pensions_funding' tab. [PensionsRisk][Pensions_parameters][CPI Inflation funding basis]
CRDcompliant An indication of whether a covered bond is CRD compliant. The compliance is in relation to both CRD III and CRD IV. [StructuredFinance][Covered_bonds][CRD compliant]
CREdevelopmenttype The nature of a commercial real estate development. [CorporateSovereignFinInstCreditRisk][UK_CRE][CRE development type]
Creditrating Current credit rating or ratings band of counterparties that are subject to this methodology [Stressed_XVA_Projections][CVA_breakdown][Credit rating]
Creditratingscalename A descriptive name given to a firm credit rating scheme. This can either be one of the enumeration lists given or firm defined. It is a mandatory requirement to fill in this data item. Additionally, under Basel Approach, for ‘A-IRB’, ‘F-IRB’ and ‘Retail IRB’, please report names of your internal models under ‘Credit Rating Scale Name’. Also, for ‘IRB slotting’ under Basel Approach, where firms have internal names for such Slotting models, please provide these names under ‘Credit Rating Scale Name’; else, pick 'Firm slotting scale' if internal names are unavailable. Finally, for ‘Standardised’ option under Basel Approach, we expect firms to report ‘CQS’ wherever possible under ‘Credit Rating Scale Name’. Where not possible/applicable, firms have the options to report as ‘Standardised no internal rating’ or report their own internal grading scale names as appropriate. [CorporateSovereignFinInstCreditRisk][Large_exposures][Credit rating scale name]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Credit rating scale name]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Credit rating scale name]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Credit rating scale name]
[IFRSNineActuals][Wholesale_rating_migrations][Credit rating scale name]
[RetailExcludingMortgageCredit][RWA][Credit rating scale name]
[RetailMortgageCredit][RWA][Credit rating scale name]
[UKCorporateExposures][UK_corporate_exposures][Credit rating scale name]
Creditreference A credit index or an indication of whether the reference asset is a single name or non-decomposed instrument which contains multiple names. [Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Credit reference]
CreditriskCR100 Changes in the valuation when credit spreads widen by 100 or more basis points. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Credit risk CR100]
Creditrisksensitivity01Y Credit risks for the portfolio 0-1Y. The risk should be represented as the change in Unearned Credit Spread AVA resulting from 1 basis point change at the relevant points on the credit curve. 1 year point should not be included in this column but in the column for Credit risk sensitivity 1-5Y.. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit risk sensitivity 0-1Y]
Creditrisksensitivity1030Y Credit risks for the portfolio 10-30Y. The risk should be represented as the change in Unearned Credit Spread AVA resulting from 1 basis point change at the relevant points on the funding curve. 30 year point should not be included in this column but in the column for Credit risk sensitivity >30Y.. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit risk sensitivity 10-30Y]
Creditrisksensitivity15Y Credit risks for the portfolio 1-5Y. The risk should be represented as the change in Unearned Credit Spread AVA resulting from 1 basis point change at the relevant points on the funding curve. 5 year point should not be included in this column but in the column for Credit risk sensitivity 5-10Y. . [Stressed_PVA_Projections][Unearned_credit_spreads][Credit risk sensitivity 1-5Y]
Creditrisksensitivity30Y Credit risks for the portfolio >30Y. The risk should be represented as the change in Unearned Credit Spread AVA resulting from 1 basis point change at the relevant points on the funding curve. . [Stressed_PVA_Projections][Unearned_credit_spreads][Credit risk sensitivity >30Y]
Creditrisksensitivity510Y Credit risks for the portfolio 5-10Y. The risk should be represented as the change in Unearned Credit Spread AVA resulting from 1 basis point change at the relevant points on the funding curve. 10 year point should not be included in this column but in the column for Credit risk sensitivity 10-30Y.. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit risk sensitivity 5-10Y]
Creditrisktype A classification of credit risk used within the stress test data collection. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Credit risk type]
Creditspreadrisksensitivityassets01Y Sum of credit spread risks as at Year 0 for the securities with residual maturity in the bucket 0-1Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the credit spread curve. Risks at the 1 year point should not be included in this column but in the column for Credit spread risk sensitivity assets 1-5Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Credit spread risk sensitivity assets 0-1Y]
Creditspreadrisksensitivityassets10Y Sum of credit spread risks as at Year0 for the securities >10Y. This risk should be represented as the change in NPV resulting from 1 basis point increase of the relevant points of the credit spread curve. [Other_Fair_Valued_Items_Projections][OFVI_projections][Credit spread risk sensitivity assets >10Y]
Creditspreadrisksensitivityassets15Y Sum of credit spread risks as at Year 0 for the securities with residual maturity in the bucket 1-5Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the credit spread curve. Risks at the 5 year point should not be included in this column but in the column for Credit spread risk sensitivity assets 5-10Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Credit spread risk sensitivity assets 1-5Y]
Creditspreadrisksensitivityassets510Y Sum of credit spread risks as at Year 0 for the securities with residual maturity in the bucket 5-10Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the credit spread curve. Risks at the 10 year point should not be included in this column but in the column for Credit spread risk sensitivity assets >10Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Credit spread risk sensitivity assets 5-10Y]
Creditspreadrisksensitivityassetstotal Sum of the maturity bucketed risks. [Other_Fair_Valued_Items_Projections][OFVI_projections][Credit spread risk sensitivity assets total]
CreditspreadsusedinAVA01Y Spreads above LIBOR corresponding to the external credit rating used for credit related prudent value adjustments for positions with residual maturity in the bucket 0-1Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in AVA 0-1Y]
CreditspreadsusedinAVA1030Y Spreads above LIBOR corresponding to the external credit rating used for credit related prudent value adjustments for positions with residual maturity in the bucket 10-30Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in AVA 10-30Y]
CreditspreadsusedinAVA15Y Spreads above LIBOR corresponding to the external credit rating used for credit related prudent value adjustments for positions with residual maturity in the bucket 1-5Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in AVA 1-5Y]
CreditspreadsusedinAVA30Y Spreads above LIBOR corresponding to the external credit rating used for credit related prudent value adjustments for positions with residual maturity in the bucket >30Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in AVA >30Y]
CreditspreadsusedinAVA510Y Spreads above LIBOR corresponding to the external credit rating used for credit related prudent value adjustments for positions with residual maturity in the bucket 5-10Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in AVA 5-10Y]
CreditspreadsusedinCVA01Y Spreads above LIBOR corresponding to the external credit rating used for credit related fair value adjustments for positions with residual maturity in the bucket 0-1Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in CVA 0-1Y]
CreditspreadsusedinCVA1030Y Spreads above LIBOR corresponding to the external credit rating used for credit related fair value adjustments for positions with residual maturity in the bucket 10-30Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in CVA 10-30Y]
CreditspreadsusedinCVA15Y Spreads above LIBOR corresponding to the external credit rating used for credit related fair value adjustments for positions with residual maturity in the bucket 1-5Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in CVA 1-5Y]
CreditspreadsusedinCVA30Y Spreads above LIBOR corresponding to the external credit rating used for credit related fair value adjustments for positions with residual maturity in the bucket >30Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in CVA >30Y]
CreditspreadsusedinCVA510Y Spreads above LIBOR corresponding to the external credit rating used for credit related fair value adjustments for positions with residual maturity in the bucket 5-10Y. [Stressed_PVA_Projections][Unearned_credit_spreads][Credit spreads used in CVA 5-10Y]
CREsecurity An indication of the priority in the event of default. A lender with a first legal charge over a property has a first call on any funds available from the sale of the property. [CorporateSovereignFinInstCreditRisk][UK_CRE][CRE security]
Cumulativeadjustmentperiod The adjustment period to which the model adjustments reflect. [Modelriskmanagement][Model_adjustments][Cumulative adjustment period]
Currency The currency in which the balances are held. The scope of currencies to be reported is firm specific and needs to be agreed as part of the scoping discussions. [BalanceSheetProjections][ALM_metrics][Currency]
[OtherCapitalProjections][FX_capital_resources][Currency]
[OtherCapitalProjections][FX_leverage][Currency]
[OtherCapitalProjections][FX_RWA][Currency]
[Shorttermfunding][Funding][Currency]
[Shorttermfunding][Secured_lending][Collateral currency]
[Shorttermfunding][Secured_lending][Currency of contract]
Currencyofexposure The currency of the issue of a financial instrument or the currency of an account. [FinancialSectorExposures][Demand_exposures][Currency of account]
[FinancialSectorExposures][Term_exposures][Currency of exposure]
CurrencyofexposureMR The local currency relating to the exposure. This is the currency produced by the trading system for the valuation of the product prior to translation into reporting currency. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Currency of exposure]
[Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Currency of exposure]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Currency of exposure]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Currency of exposure]
CurrencyofInstrument Currency of the instrument. [StructuredFinance][Covered_bonds][Currency of instrument]
[StructuredFinance][Securitisation_positions][Currency of instrument]
Currencyofpensionliabilities The currency in which liabilities of the pension scheme are denominated [Pensioncurrencyhedge][Currency_hedge][Currency in which liabilities are denominated]
Currencyofsecurity The currency in which the balances are held. [TradeableSecurities][Tradeable_securities][Currency of security]
CurrencyofTrancheOriginated Currency in which the tranche was originated. [StructuredFinance][Significant_risk_transfer][Currency of tranche originated]
CurrentarrearsbandbyMIA Current banding of exposures by their months in arrears. This could be required for both the current period e.g. June 2012 or for a previous period e.g. May 2012. [RetailExcludingMortgageCredit][Trended_arrears][Current arrears band by MIA]
[RetailMortgageCredit][Trended_arrears][Current arrears band by MIA]
CurrentNotional For securitisation positions, the current notional (original notional * factor) of the line item held in units of the reporting currency. This is gross of impairment, or market value decline. Short positions (e.g. purchases of protection) should be entered as a negative value. For covered bonds, the notional number of bonds held by the firm. This is also gross of impairment, or market value decline. Short positions (e.g. purchases of protection) should be entered as a negative value. For fully undrawn facilities this value should be zero. [StructuredFinance][Covered_bonds][Current notional]
[StructuredFinance][Securitisation_positions][Current notional]
CurrentnotionalFVO The value of an instrument's underlying asset at its current spot price. [FVORWA][RWA][Current notional]
CurrentNotionalofTrancheOriginated Current notional (original notional * factor) of the tranche in units of the reporting currency. The minimum number is 0 and there is no maximum. [StructuredFinance][Significant_risk_transfer][Current notional of tranche originated]
CurrentOvercollateralisation The percentage, expressed as a positive decimal value, of assets valued by the relevant national valuation metric posted in the excess of the issued liabilities (valued by the relevant national valuation metric).Example: For a bond with a face value of 100 and posted collateral of 120, current overcollateralisation should be entered as 0.2. [StructuredFinance][Covered_bonds][Current overcollateralisation]
Customerratewholesaleissuance The interest rate paid on the debt issuance. [WholesaleIssuanceProjections][Wholesale_issuance][Customer rate]
CVAgrossimpact Impact on CVA of changing this Risk-Driver and OtherCreditSpreads minus marginal impact of moving OtherCreditSpreads only [Stressed_XVA_Projections][Marginal_drivers][CVA gross impact]
[Stressed_XVA_Projections][Net_drivers][CVA gross impact]
CVAmethodology Whether CVA is calculated based on liquid, tradable CDS for the name or if it is calculated using a proxy or internal model. [Stressed_PVA_Projections][Unearned_credit_spreads][CVA methodology]
Date Date that is relevant to the projection period (low point, end-of-year date, trading book shock date - 1Day, 2week, 1 month). To be entered in (yyyymmdd) format. [Liquidity][Liquidity_ratios][Date]
DateloanbecameIFRS9stage3 The date on which any loan in the borrowers portfolio becomes classified as IFRS9 Stage 3 for the purpose of calculating impairments. Prior to the implementation of IFRS 9, please report the date any loan becomes impaired. [CorporateSovereignFinInstCreditRisk][UK_CRE][Date loan became classified as IFRS9 stage 3 or impaired]
DateLogged The date on which an operational risk event was first recorded into the firm's operational loss data system (if available). [OperationalRisk][Operational_loss_details][Date logged]
DateofFinancialImpact The date when the operational loss was first recognised in the profit or loss. [OperationalRisk][Operational_loss_details][Date of financial impact]
DateofOccurrence The date on which an operational risk event occurred or commenced. [OperationalRisk][Operational_loss_details][Date of occurrence]
Dateoforigination The date the loan or security was originated. [CorporateSovereignFinInstCreditRisk][UK_CRE][Date of origination]
[Shorttermfunding][Secured_lending][Date of origination]
[UKCorporateExposures][UK_corporate_exposures][Date of origination]
Dealname The name or other unique identifier of a deal. Provide the top 5 deals by notional and a total for all other deals. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Deal name]
Defaultedexposuresratio Defaulted Exposures Ratio (W) as per Regulation (EU) 2017/2401 Article 261 [CapitalAndOtherProjections][Structured_finance][Defaulted exposures ratio]
[StructuredFinance][Securitisation_positions][Defaulted exposures ratio]
Defaultlosscategory Losses are to be reported at an individual counterparty level, portfolio level or aggregate i.e. overall default losses [Counterparty_Credit_Risk_Losses_Projections][Default_loss][Default loss category]
Defaultlossesgrossofhedginginstruments Total losses caused by the issuer default before hedging is taken into account. [Other_Fair_Valued_Items_Projections][Issuer_default_loss][Default losses gross of hedging instruments]
Defaultlossesnetofhedginginstruments Total losses caused by the issuer default after hedging is taken into account. [Other_Fair_Valued_Items_Projections][Issuer_default_loss][Default losses net of hedging instruments]
Defaultlossunderstress Default loss of a counterparty under stress is the loss taking into account the mark to market values of transactions, collateral values and loss given default values, all under the stressed market conditions. It is equal to the stressed collateralised current exposure multiplied by the stressed loss given default for the counterparty being defaulted. The Default loss under stress is expressed as a negative number. [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Default loss under stress]
[Counterparty_Credit_Risk_Losses_Projections][Default_loss][Default loss under stress]
Defaultrate This is the assumed or modelled forecast rate of actual default for every portfolio over the period. This is a forward looking default rate, in line with PD. This would be defined as for every time period T it would be equal to the Flow of balance from non-default to default between T and T + 1, divided by the Non defaulted balance at T. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Default rate]
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). [CapitalAndOtherProjections][Risk_measures_by_portfolio][Default status]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Default status]
[CorporateSovereignFinInstCreditRisk][Provisions][Default status]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Default status]
[IFRSNineActuals][Wholesale_provisions][Default status]
[IFRSNineActuals][Wholesale_risk_measures][Default status]
[IFRSNineProjections][IFRS9_impact][Default status]
[RetailProjections][Balance_flow][Default status]
[UKCorporateExposures][UK_corporate_exposures][Default status]
Defaultstatusandexpectedlossorprovision A combination of default status and an indicator of expected loss or provisions. [CapitalAndOtherProjections][EL-P_reconciliation][Default status and expected loss or provision]
[Capitaltransitionals][EL-P_reconciliation][Default status and expected loss or provision]
Delta Change in value for a small move in the underlying risk factor [Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Delta]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Delta]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Delta]
Deltaunit Firm defined unit of measurement for Delta [Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Delta unit]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Delta unit]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Delta unit]
Derivativecollateralposted Post-haircut mark-to-market value posted for collateralised derivative netting sets. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Derivative collateral posted ]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Derivative collateral posted ]
Derivativecollateralreceived Post-haircut mark-to-market value received for collateralised derivative netting sets. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Derivative collateral received]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Derivative collateral received]
Description A meaningful and justifiable description of the data item / control type reference. [Reconciliations][Reconciliations][Description]
DescriptionofCoveredBond A brief description of the instrument, including details of the programme and issuer. [StructuredFinance][Covered_bonds][Description of covered bond]
DescriptionofInstrument A brief description of the instrument, preferably in line with market convention 'ISSUER Vintage-Series Tranche'. Long names of the issuer are also acceptable up to a maximum of 200 characters. [StructuredFinance][Securitisation_positions][Description of instrument]
Detachmentpointoftranche The upper bound of the tranche range, determined in accordance with Article 256. [CapitalAndOtherProjections][Structured_finance][Detachment point of tranche]
[StructuredFinance][Securitisation_positions][Detachment point of tranche]
Dimension The dimension(s) that describe the unique ID. [Reconciliations][Reconciliations][Dimension]
Dimensionvalueordescription The combination of dimension values or Description of External targets that describe the unique ID. [Reconciliations][Reconciliations][Dimension value or description]
Discountratefundingbasis The discount rate used to calculate values on the 'Pensions_funding' tab, based on the statement of funding principles and market conditions at the valuation date. If the trustees use separate ‘pre’ and ‘post’ discount rates, or a full yield curve approach, please estimate a single representative rate. The main use is for the PRA to estimate the margin over gilts in the trustees’ discount rate. [PensionsRisk][Pensions_parameters][Discount rate funding basis]
DiversificationsandoffsetsrelatedtocloseoutcostuncertaintyAVA Benefits from diversification and offsetting items related to Close Out Cost Uncertainty AVA. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Diversifications and offsets (related to close out cost uncertainty AVA)]
[Stressed_PVA_Projections][Totals][Diversifications and offsets (related to close out cost uncertainty AVA)]
DiversificationsandoffsetsrelatedtoinvestingandfundingcostAVA Benefits from diversification and offsetting items related to Investing and Funding Costs AVA. [Stressed_PVA_Projections][Investing_and_funding][Diversifications and offsets (related to investing and funding cost AVA)]
[Stressed_PVA_Projections][Totals][Diversifications and offsets (related to investing and funding cost AVA)]
DiversificationsandoffsetsrelatedtomarketpriceuncertaintyAVA Benefits from diversification and offsetting items related to Market Price Uncertainty AVA. [Stressed_PVA_Projections][Market_price_uncertainty][Diversifications and offsets (related to market price uncertainty AVA)]
[Stressed_PVA_Projections][Totals][Diversifications and offsets (related to market price uncertainty AVA)]
DiversificationsandoffsetsrelatedtomodelriskAVA Benefits from diversification and offsetting items related to Model Risk AVA. [Stressed_PVA_Projections][Model_risk][Diversifications and offsets (related to model risk AVA)]
[Stressed_PVA_Projections][Totals][Diversifications and offsets (related to model risk AVA)]
DiversificationsandoffsetsrelatedtounearnedcreditspreadsAVA Benefits from diversification and offsetting items related to Unearned Credit Spreads AVA. [Stressed_PVA_Projections][Totals][Diversifications and offsets (related to unearned credit spreads AVA)]
[Stressed_PVA_Projections][Unearned_credit_spreads][Diversifications and offsets (related to unearned credit spreads AVA)]
DrawnBalance 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}) plus the Value Adjustments and Provisions associated with the original exposure ({c030}). [CapitalAndOtherProjections][Risk_measures_by_portfolio][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Provisions][Drawn balance]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Drawn balance]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Drawn balance]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Drawn balance]
[IFRSNineActuals][Retail_secured_RWA][Drawn balance]
[IFRSNineActuals][Retail_secured_stages][Drawn balance]
[IFRSNineActuals][Retail_secured_vintage][Drawn balance]
[IFRSNineActuals][Retail_unsecured_RWA][Drawn balance]
[IFRSNineActuals][Retail_unsecured_stages][Drawn balance]
[IFRSNineActuals][Retail_unsecured_vintage][Drawn balance]
[IFRSNineActuals][Secured_PD_migrations][Drawn balance]
[IFRSNineActuals][Secured_stage_migrations][Drawn balance]
[IFRSNineActuals][Unsecured_PD_migrations][Drawn balance]
[IFRSNineActuals][Unsecured_stage_migrations][Drawn balance]
[IFRSNineActuals][Wholesale_arrears_migrations][Drawn balance]
[IFRSNineActuals][Wholesale_provisions][Drawn balance]
[IFRSNineActuals][Wholesale_rating_migrations][Drawn balance]
[IFRSNineActuals][Wholesale_risk_measures][Drawn balance]
[IFRSNineActuals][Wholesale_stage_migrations][Drawn balance]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][Drawn balance]
[Intragrouppositions][Intra_group_assets][Drawn balance]
[Intragrouppositions][Intra_group_liabilities][Drawn balance]
[RetailExcludingMortgageCredit][RWA][Drawn balance]
[RetailExcludingMortgageCredit][Trended_arrears][Drawn balance]
[RetailExcludingMortgageCredit][Trended_other][Drawn balance]
[RetailMortgageCredit][LTV_arrears_MIA][Drawn balance]
[RetailMortgageCredit][LTV_arrears_PIA][Drawn balance]
[RetailMortgageCredit][LTV_repayment][Drawn balance]
[RetailMortgageCredit][RWA][Drawn balance]
[RetailMortgageCredit][Trended_arrears][Drawn balance]
[RetailMortgageCredit][Trended_other][Drawn balance]
[RetailMortgageCredit][Vintage_analysis][Drawn balance]
[RetailProjections][Balance_flow][Drawn balance]
[UKCorporateExposures][UK_corporate_exposures][Drawn balance]
EADcalculationmethodology The methodology or approach used to calculate regulatory EAD. If there is material use of different EAD calculation methodologies, this breakdown should be provided. For example, If most of the derivative portfolio is covered by IMM, then use IMM as the EAD Calculation Methodology. [CounterpartycreditriskRWA][CCR_RWAs][EAD calculation methodology]
EarlyterminationAVA The amount of AVA related to Early Termination as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Totals][Early termination AVA]
ECLatinitialrecognition The expected credit loss at the time the asset was recognised on balance sheet. This value should not change throughout the ownership of the unique ID. [StructuredFinance][Covered_bonds][Expected credit loss at initial recognition]
[StructuredFinance][Securitisation_positions][Expected credit loss at initial recognition]
Effectivenumberofexposures Effective number of exposures (N) as per Regulation (EU) 2017/2401 Article 259.4 [StructuredFinance][Securitisation_positions][Effective number of exposures]
EforRWAcoveredbyGLS The exposure for RWA covered by UK Government lending schemes such as CBILS, CLBILS, and BBL. [CorporateSovereignFinInstCreditRisk][Risk_measures][Exposure for RWA covered by government lending schemes]
[RetailExcludingMortgageCredit][RWA][Exposure for RWA covered by government lending schemes]
Employercontributionsordinary The value of ordinary contributions made by employers to pension scheme in a specified year. [PensionsRisk][Pensions_cash_flow][Employer contributions ordinary]
Employercontributionsspecialordeficityear0 The value of special or deficit contributions made by employers to pension scheme in Year 0 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 0]
Employercontributionsspecialordeficityear1 The value of special or deficit contributions made by employers to pension scheme in Year 1 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 1]
Employercontributionsspecialordeficityear2 The value of special or deficit contributions made by employers to pension scheme in Year 2 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 2]
Employercontributionsspecialordeficityear3 The value of special or deficit contributions made by employers to pension scheme in Year 3 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 3]
Employercontributionsspecialordeficityear4 The value of special or deficit contributions made by employers to pension scheme in Year 4 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 4]
Employercontributionsspecialordeficityear5 The value of special or deficit contributions made by employers to pension scheme in Year 5 in the current agreed recovery plan. [PensionsRisk][Pensions_cash_flow][Employer contributions special or deficit year 5]
Estimateddailytradingvolumeriskamount The firm's estimate of the typical amount of the product traded each day in the market. [Stressed_PVA_Projections][Concentrated_position][Estimated daily trading volume/risk amount]
Estimatedexithorizon The firm's estimate of how many days it would take to exit the position in a prudent manner. [Stressed_PVA_Projections][Concentrated_position][Estimated exit horizon]
EURhedgeratio The change in the value of any currency derivatives expressed as a percentage of the change in the value of EUR-denominated assets resulting from an appreciation or depreciation of EUR relative to the currency of the liabilities. [Pensioncurrencyhedge][Currency_hedge][EUR hedge ratio]
Eventdescription A description of an operational risk event that resulted in a loss. [OperationalRisk][Operational_loss_details][Event description]
Eventtypelevel1 An Operational Risk event category as defined in CRR Article 324. [OperationalRisk][Operational_loss_details][Event type level 1]
Eventtypelevel2 An operational risk event type (level 2) as defined in Annex 9 of Basel II Accord (BCBS, Basel II: International convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version (June 2006)). [OperationalRisk][Operational_loss_details][Event type level 2]
Expectedlossregulatory 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Expected loss regulatory]
[CapitalAndOtherProjections][Structured_finance][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Expected loss regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Expected loss regulatory]
[CounterpartycreditriskRWA][CCR_RWAs][Expected loss regulatory]
[FVORWA][RWA][Expected loss regulatory]
[IFRSNineActuals][Retail_secured_RWA][Expected loss regulatory]
[IFRSNineActuals][Retail_unsecured_RWA][Expected loss regulatory]
[IFRSNineActuals][Wholesale_risk_measures][Expected loss regulatory]
[IFRSNineProjections][IFRS9_impact][Expected loss regulatory]
[Intragrouppositions][Intra_group_assets][Expected loss regulatory]
[RetailExcludingMortgageCredit][RWA][Expected loss regulatory]
[RetailMortgageCredit][RWA][Expected loss regulatory]
[StructuredFinance][Covered_bonds][Expected loss regulatory]
[StructuredFinance][Securitisation_positions][Expected loss regulatory]
[UKCorporateExposures][UK_corporate_exposures][Expected loss regulatory]
Expense The amount of expense related to a specified type of expense. [BalanceSheetProjections][Other_expense_details][Expense]
[Feesandcostsconstantcurrency][Other_expense_details][Expense]
Exposureamount Corresponding exposure amount in reporting currency. . [Stressed_PVA_Projections][Closeout_cost_uncertainty][Exposure amount]
[Stressed_PVA_Projections][Concentrated_position][Exposure amount]
[Stressed_PVA_Projections][Market_price_uncertainty][Exposure amount]
Exposureforimpairments 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'. [CorporateSovereignFinInstCreditRisk][Provisions][Exposure for impairments]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Exposure for impairments]
[IFRSNineActuals][Retail_secured_RWA][Exposure for impairments]
[IFRSNineActuals][Retail_secured_stages][Exposure for impairments]
[IFRSNineActuals][Retail_secured_vintage][Exposure for impairments]
[IFRSNineActuals][Retail_unsecured_RWA][Exposure for impairments]
[IFRSNineActuals][Retail_unsecured_stages][Exposure for impairments]
[IFRSNineActuals][Retail_unsecured_vintage][Exposure for impairments]
[IFRSNineActuals][Secured_PD_migrations][Exposure for impairments]
[IFRSNineActuals][Secured_stage_migrations][Exposure for impairments]
[IFRSNineActuals][Unsecured_PD_migrations][Exposure for impairments]
[IFRSNineActuals][Unsecured_stage_migrations][Exposure for impairments]
[IFRSNineActuals][Wholesale_arrears_migrations][Exposure for impairments]
[IFRSNineActuals][Wholesale_provisions][Exposure for impairments]
[IFRSNineActuals][Wholesale_rating_migrations][Exposure for impairments]
[IFRSNineActuals][Wholesale_risk_measures][Exposure for impairments]
[IFRSNineActuals][Wholesale_stage_migrations][Exposure for impairments]
[UKCorporateExposures][UK_corporate_exposures][Exposure for impairments]
ExposureforRWA 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. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Exposure for RWA]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Exposure for RWA]
[FVORWA][RWA][Exposure for RWA]
[IFRSNineActuals][Retail_secured_RWA][Exposure for RWA]
[IFRSNineActuals][Retail_unsecured_RWA][Exposure for RWA]
[IFRSNineActuals][Wholesale_risk_measures][Exposure for RWA]
[Intragrouppositions][Intra_group_assets][Exposure for RWA]
[RetailExcludingMortgageCredit][RWA][Exposure for RWA]
[RetailMortgageCredit][RWA][Exposure for RWA]
[UKCorporateExposures][UK_corporate_exposures][Exposure for RWA]
Exposuretype The market risk factor contributing to the AVA. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Exposure type]
[Stressed_PVA_Projections][Market_price_uncertainty][Exposure type]
Exposuretypeterm A grouping of securities. [FinancialSectorExposures][Term_exposures][Exposure type]
Exposureunit Firm defined unit for the exposure amount. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Exposure unit]
[Stressed_PVA_Projections][Market_price_uncertainty][Exposure unit]
ExposurevaluegrossofunilateralaccountingCVA An exposure value - as per Article 273 - the sum of netting sets according to counterparty credit risk types gross of unilateral accounting CVA, i.e. the output from the regulatory exposure method. [CounterpartycreditriskRWA][CCR_RWAs][Exposure value gross of unilateral accounting CVA]
ExposurevaluenetofunilateralaccountingCVA An exposure value - as per Article 273 - the sum of netting sets according to counterparty credit risk types net of unilateral accounting CVA, i.e. the exposure value used to calculate RWA. Note that CCP default fund exposure value should be the actual or projected default fund contributions. [CounterpartycreditriskRWA][CCR_RWAs][Exposure value net of unilateral accounting CVA]
Exposureweightedinterestrate The exposure weighted interest rate of the reported portfolio. [IFRSNineActuals][Wholesale_risk_measures][Exposure weighted interest rate]
ExposureWeightedMaturity 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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Exposure weighted maturity]
ExposureWeightedVintage 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). [CorporateSovereignFinInstCreditRisk][Large_exposures][Exposure weighted vintage]
Externalcreditrating An EBA-defined credit rating scale whose purpose is to map the major credit rating agency credit ratings to one common scale. For securitisations, see http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32016R1801&from=EN. For standardised credit risk, see http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32016R1799&from=EN. [CorporateSovereignFinInstCreditRisk][Large_exposures][External credit rating]
[Stressed_PVA_Projections][Unearned_credit_spreads][External credit rating]
[StructuredFinance][Covered_bonds][Covered bond senior unsecured issuer rating]
[StructuredFinance][Covered_bonds][External credit rating]
[WholesaleIssuanceProjections][Wholesale_issuance][External rating scale]
ExternalcreditratingCQS Credit Quality Step as per final ITS on ECAI Mapping to be published by EBA, short-term ratings are to be prefixed with ST- for distinction. [CapitalAndOtherProjections][Structured_finance][External credit rating]
[StructuredFinance][Securitisation_positions][External credit rating]
[StructuredFinance][Significant_risk_transfer][External credit rating]
ExternalcreditratingDBRS Rating of the legal entity where the firm uses DBRS as its external rating scale for counterparties [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][External credit rating DBRS]
ExternalcreditratingFitch Rating of the legal entity where the firm uses Fitch as its external rating scale for counterparties [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][External credit rating Fitch]
ExternalcreditratingMoodys Rating of the legal entity where the firm uses Moody's as its external rating scale for counterparties [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][External credit rating Moody's]
ExternalcreditratingStandardandPoors Rating of the legal entity where the firm uses Standard and Poor's as its external rating scale for counterparties [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][External credit rating Standard and Poor's]
FacilityID Unique ID applied to facility type used to reconcile against type of collateral used against facility. This can be an internally used ID or an ID specifically created for the purposes of this template. Please ensure that it allows matching facilities across the UK_corporate_exposures and Collateral_by_facility tabs, as well as matching facilities over time between submissions. [UKCorporateExposures][Collateral_by_facility][Facility ID]
[UKCorporateExposures][UK_corporate_exposures][Facility ID]
FacilityType A classification of facility type provided to corporates. [UKCorporateExposures][UK_corporate_exposures][Facility type]
Fairvalue Fair value as defined under IFRS 13 [Other_Fair_Valued_Items_Projections][OFVI_projections][Fair value]
Fairvalueadjustments Accounting valuation adjustment. [FVORWA][RWA][Fair value adjustments]
Fairvalueassets The accounting fair value of assets. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Fair value assets]
[Stressed_PVA_Projections][Concentrated_position][Fair value assets]
[Stressed_PVA_Projections][Market_price_uncertainty][Fair value assets]
[Stressed_PVA_Projections][Model_risk][Fair value assets]
[Stressed_PVA_Projections][Totals][Fair value assets]
Fairvalueliabilities The accounting fair value of liabilities. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Fair value liabilities]
[Stressed_PVA_Projections][Concentrated_position][Fair value liabilities]
[Stressed_PVA_Projections][Market_price_uncertainty][Fair value liabilities]
[Stressed_PVA_Projections][Model_risk][Fair value liabilities]
[Stressed_PVA_Projections][Totals][Fair value liabilities]
Fairvaluemovements Accounting valuation movements. [Intragrouppositions][Intra_group_assets][Fair value movements]
FairvalueofwhichHQLAeligible The fair value for securities as at Year 0 eligible for High Quality Liquidity Assets [Other_Fair_Valued_Items_Projections][OFVI_projections][Fair value of which HQLA eligible]
Fieldname The field name of the unique ID [Reconciliations][Reconciliations][Field name]
Filename The exact file name that contains the response to the basis of preparation query. [Basisofpreparationindex][Actuals_index][File name]
[Basisofpreparationindex][Projections_index][File name]
Financialcounterpartyname The name of a financial sector counterparty. [FinancialSectorExposures][Demand_exposures][Financial counterparty name]
[FinancialSectorExposures][Term_exposures][Financial counterparty name]
FinRepclassification The higher level finrep classification of the security. [TradeableSecurities][Tradeable_securities][FinRep classification]
Firmcomment Any comment the firm wishes to make regarding the reference or answer to the basis of preparation query. [Basisofpreparationindex][Actuals_index][Firm comment]
[Basisofpreparationindex][Projections_index][Firm comment]
FirmsCapitalDeductionrelatingtoTranche Current capital deduction associated with the tranche at a group level. [StructuredFinance][Significant_risk_transfer][Firms capital deduction relating to tranche]
FirmsExposuretoTranche Current notional (original notional * factor) of the tranche which the firm is currently exposed to at a group level. [StructuredFinance][Significant_risk_transfer][Firms exposure to tranche]
FirmsRiskWeightedExposuretoTranche Current risk weighted exposure (RWA) of the tranche which the firm is currently exposed to at a group level. [StructuredFinance][Significant_risk_transfer][Firms risk weighted exposure to tranche]
Flexfeeorotherlossreduction Any loss reduction due to a flexible fee arrangement of other impact. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Flex fee or other loss reduction]
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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Forborne]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Forborne]
[IFRSNineActuals][Retail_secured_RWA][Forborne]
[IFRSNineActuals][Retail_unsecured_RWA][Forborne]
[IFRSNineActuals][Wholesale_risk_measures][Forborne]
[UKCorporateExposures][UK_corporate_exposures][Forborne]
Fullownfundingspreadsasobservedinmarket01Y Spreads above LIBOR observed in the markets for the portfolio with residual maturity in the bucket 0-1Y [Stressed_PVA_Projections][Investing_and_funding][Full own funding spreads as observed in market 0-1Y]
Fullownfundingspreadsasobservedinmarket1030Y Spreads above LIBOR observed in the markets for the portfolio with residual maturity in the bucket 10-30Y [Stressed_PVA_Projections][Investing_and_funding][Full own funding spreads as observed in market 10-30Y]
Fullownfundingspreadsasobservedinmarket15Y Spreads above LIBOR observed in the markets for the portfolio with residual maturity in the bucket 1-5Y [Stressed_PVA_Projections][Investing_and_funding][Full own funding spreads as observed in market 1-5Y]
Fullownfundingspreadsasobservedinmarket30Y Spreads above LIBOR observed in the markets for the portfolio with residual maturity in the bucket >30Y [Stressed_PVA_Projections][Investing_and_funding][Full own funding spreads as observed in market >30Y]
Fullownfundingspreadsasobservedinmarket510Y Spreads above LIBOR observed in the markets for the portfolio with residual maturity in the bucket 5-10Y [Stressed_PVA_Projections][Investing_and_funding][Full own funding spreads as observed in market 5-10Y]
Fulltimeequivalentemployees The number of employees converted into full-time equivalents (FTE). Figures for the number of persons working less than the standard working time of a full-year full-time worker should be converted into full-time equivalents, with regard to the working time of a full-time full-year employee in the unit. Included in this category are people working less than a standard working day, less than the standard number of working days in the week or less than the standard number of weeks/months in the year. The conversion should be carried out on the basis of the number of hours, days, weeks or months worked. FTE employees should be reported on the basis on which they are employed. If an individual is employed on a full time basis but is away on leave, regardless of the reason for their absence, they are still employed as a full time worker they should be regarded as one FTE employee. [BalanceSheetProjections][Full_time_employees][Full time equivalent employees]
Fundingcounterpartyname The name of any person or an entity to which the the funding is provided. [Shorttermfunding][Funding][Counterparty Name]
[Shorttermfunding][Secured_lending][Counterparty Name]
Fundinginstrumenttype A classification of instruments for the Short term funding template. [Shorttermfunding][Funding][Instrument type]
Fundingrisksensitivity01Y Funding risks for the portfolio 0-1Y. The risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point change at the relevant points on the funding curve. 1 year point should not be included in this column but in the column for Funding risk sensitivity 1-5Y. [Stressed_PVA_Projections][Investing_and_funding][Funding risk sensitivity 0-1Y]
Fundingrisksensitivity1030Y Funding risks for the portfolio 10-30Y. The risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point change at the relevant points on the funding curve. 30 year point should not be included in this column but in the column for Funding risk sensitivity >30Y. [Stressed_PVA_Projections][Investing_and_funding][Funding risk sensitivity 10-30Y]
Fundingrisksensitivity15Y Funding risks for the portfolio 1-5Y. The risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point change at the relevant points on the funding curve. 5 year point should not be included in this column but in the column for Funding risk sensitivity 5-10Y. [Stressed_PVA_Projections][Investing_and_funding][Funding risk sensitivity 1-5Y]
Fundingrisksensitivity30Y Funding risks for the portfolio >30Y. The risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point change at the relevant points on the funding curve. [Stressed_PVA_Projections][Investing_and_funding][Funding risk sensitivity >30Y]
Fundingrisksensitivity510Y Funding risks for the portfolio 5-10Y. The risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point change at the relevant points on the funding curve. 10 year point should not be included in this column but in the column for Funding risk sensitivity 10-30Y. [Stressed_PVA_Projections][Investing_and_funding][Funding risk sensitivity 5-10Y]
FundingspreadsusedinAVA01Y Spreads above LIBOR used for funding related prudent value adjustments for the portfolio with residual maturity in the bucket 0-1Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in AVA 0-1Y]
FundingspreadsusedinAVA1030Y Spreads above LIBOR used for funding related prudent value adjustments for the portfolio with residual maturity in the bucket 10-30Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in AVA 10-30Y]
FundingspreadsusedinAVA15Y Spreads above LIBOR used for funding related prudent value adjustments for the portfolio with residual maturity in the bucket 1-5Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in AVA 1-5Y]
FundingspreadsusedinAVA30Y Spreads above LIBOR used for funding related prudent value adjustments for the portfolio with residual maturity in the bucket >30Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in AVA >30Y]
FundingspreadsusedinAVA510Y Spreads above LIBOR used for funding related prudent value adjustments for the portfolio with residual maturity in the bucket 5-10Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in AVA 5-10Y]
FundingspreadsusedinFFVA01Y Spreads above LIBOR used for funding related fair value adjustments for the portfolio with residual maturity in the bucket 0-1Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in FFVA 0-1Y]
FundingspreadsusedinFFVA1030Y Spreads above LIBOR used for funding related fair value adjustments for the portfolio with residual maturity in the bucket 10-30Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in FFVA 10-30Y]
FundingspreadsusedinFFVA15Y Spreads above LIBOR used for funding related fair value adjustments for the portfolio with residual maturity in the bucket 1-5Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in FFVA 1-5Y]
FundingspreadsusedinFFVA30Y Spreads above LIBOR used for funding related fair value adjustments for the portfolio with residual maturity in the bucket >30Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in FFVA >30Y]
FundingspreadsusedinFFVA510Y Spreads above LIBOR used for funding related fair value adjustments for the portfolio with residual maturity in the bucket 5-10Y [Stressed_PVA_Projections][Investing_and_funding][Funding spreads used in FFVA 5-10Y]
FutureadministrationcostAVA The amount of AVA related to Future Administration Costs as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Totals][Future administration cost AVA]
FVAgrossimpact Impact on FVA of changing this Risk-Driver and funding spread/own-credit spread minus marginal impact of moving funding-spread/own-credit spread only [Stressed_XVA_Projections][Marginal_drivers][FVA gross impact]
[Stressed_XVA_Projections][Net_drivers][FVA gross impact]
FVOaccountingdesignation The accounting method under which the value of the item is recorded in the firm's financial statements. [FVORWA][RWA][FVO accounting designation]
FVOexposuretype An exposure type for the FVO template [FVORWA][RWA][FVO exposure type]
Gainorlossfromcreditspreads Marginal contribution to gross CVA Year 1 (change) caused by moving the counterparty-credit spreads alone [Stressed_XVA_Projections][CVA_breakdown][Gain or loss from credit spreads]
Gainorlosstotal Total contribution to gross CVA Year 1 (change) for the specified set of counterparties. The sum of all such changes should sum to the gross CVA change on the XVA tab [Stressed_XVA_Projections][CVA_breakdown][Gain or loss total]
GBPhedgeratio The change in the value of any currency derivatives expressed as a percentage of the change in the value of GBP-denominated assets resulting from an appreciation or depreciation of GBP relative to the currency of the liabilities. [Pensioncurrencyhedge][Currency_hedge][GBP hedge ratio]
Geographicregion Geographical Area of the counterparties that are subject to this methodology [Stressed_XVA_Projections][CVA_breakdown][Geographic region]
Grossnewbusiness Projected new business (loans, deposits, etc.) expected for a specified a period. [BalanceSheetProjections][Market_volumes_UK_only][Gross new business]
GrossNewVolume Gross volume of new business written between period ends. Rolling and switching balances should be reported gross. Year 0 gross new volume should be associated with the new customer rate. [BalanceSheetProjections][ALM_balance_sheet][Gross new volume]
Grossnotional Gross notional amount of the portfolio. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Gross notional]
[Stressed_PVA_Projections][Concentrated_position][Gross notional]
[Stressed_PVA_Projections][Market_price_uncertainty][Gross notional]
[Stressed_PVA_Projections][Model_risk][Gross notional]
[Stressed_PVA_Projections][Totals][Gross notional]
GrossOperationalLoss The sum of all profit or loss impacts related to an operational risk event before recoveries of any type. Losses must be recorded as a positive number, gains as a negative number. [OperationalRisk][Operational_loss_details][Gross operational loss]
GrossOperationalLossNetofDirectRecoveries The gross loss less the direct recoveries. A recovery is an independent occurrence, separate in time from the original event, in which funds are recovered or contributed, usually from or by a third party. Recoveries may be direct or indirect. An indirect recovery is generally an insurance recovery. A direct recovery is any payment (other than an indirect recovery) received by the bank which offsets the loss. [OperationalRisk][Operational_loss_details][Gross operational loss net of direct recoveries]
Hedgedbalance The balance invested in net fix rate asset / swap under structural hedge programme. The sum of these balances by each unique combination of Currency/BalanceSheetHeadet/AssetLiabilityClassHeader/ProductType/ReferenceRate across all provided MaturityPeriods wll be divided by the equivalent total balance provided in the ALMBS submission to derive a percentage hedged figure. For example 90% of non-interest bearing current accounts might be invested in the structural hedge programme. [StructuralHedge][Maturity_profile][Hedged balance]
Hedgeimpact Impact of changing this risk factor on the relevant hedges. [Stressed_XVA_Projections][Marginal_drivers][Hedge impact]
[Stressed_XVA_Projections][Net_drivers][Hedge impact]
Highlevelreconciliationcategory The high level reconciliation category that the Reconciling item is a member of. [Reconciliations][Reconciliations][High level reconciliation category]
Highmaterialitymodels The number of models which are classified as having a high materiality. [Modelriskmanagement][Model_reviews][High materiality models]
Historicalperiod Covers historical periods required for the misconduct actuals template. [MaterialMisconductCostsActuals][Misconduct_historical][Historical period]
Historicalperiodmonth A month for which a historical set of data is to be provided. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Historical period month]
[RetailExcludingMortgageCredit][Trended_arrears][Historical period month]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Historical period month]
[RetailExcludingMortgageCredit][Trended_other][Historical period month]
[RetailMortgageCredit][Trended_arrears][Historical period month]
[RetailMortgageCredit][Trended_collective_provisions][Historical period month]
[RetailMortgageCredit][Trended_other][Historical period month]
Historicalperiodmonthorquarter Historical reporting month or quarter. [RetailExcludingMortgageCredit][Comments][Historical period month or quarter]
[RetailMortgageCredit][Comments][Historical period month or quarter]
Historicalperiodquarter A quarter for which a historical set of data is to be provided. [RetailMortgageCredit][Arrears][Historical period quarter]
[RetailMortgageCredit][Repossessions][Historical period quarter]
[RetailMortgageCredit][Sales][Historical period quarter]
Historicalperiodyear A year for which a historical set of data is to be provided. [RetailExcludingMortgageCredit][Comments][Historical period year]
[RetailExcludingMortgageCredit][Trended_arrears][Historical period year]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Historical period year]
[RetailExcludingMortgageCredit][Trended_other][Historical period year]
[RetailMortgageCredit][Arrears][Historical period year]
[RetailMortgageCredit][Comments][Historical period year]
[RetailMortgageCredit][Repossessions][Historical period year]
[RetailMortgageCredit][Sales][Historical period year]
[RetailMortgageCredit][Trended_arrears][Historical period year]
[RetailMortgageCredit][Trended_collective_provisions][Historical period year]
[RetailMortgageCredit][Trended_other][Historical period year]
IFRS912monthPD The EAD weighted average 12m Probability of default as defined under IFRS9. [IFRSNineProjections][Risk_measures_by_portfolioIFRS9][IFRS9 12 month PD]
IFRS9LGD The EAD weighted average LGD as defined under IFRS9. [IFRSNineProjections][Risk_measures_by_portfolioIFRS9][IFRS9 LGD]
IFRS9lifetimePD The EAD weighted average lifetime Probability of default as defined under IFRS9. [IFRSNineProjections][Risk_measures_by_portfolioIFRS9][IFRS9 lifetime PD]
IFRS9residualmaturityband The balance weighted maturity band for the portfolio. [IFRSNineActuals][Retail_secured_RWA][IFRS9 residual maturity band]
[IFRSNineActuals][Retail_unsecured_RWA][IFRS9 residual maturity band]
[IFRSNineActuals][Wholesale_risk_measures][IFRS9 residual maturity band]
IFRS9stage The stage of impairment as defined within IFRS9. [CapitalAndOtherProjections][Structured_finance][IFRS9 stage]
[CorporateSovereignFinInstCreditRisk][UK_CRE][IFRS9 stage]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][IFRS9 stage]
[IFRSNineActuals][Retail_secured_RWA][IFRS9 stage]
[IFRSNineActuals][Retail_secured_stages][IFRS9 stage]
[IFRSNineActuals][Retail_secured_vintage][IFRS9 stage]
[IFRSNineActuals][Retail_unsecured_RWA][IFRS9 stage]
[IFRSNineActuals][Retail_unsecured_stages][IFRS9 stage]
[IFRSNineActuals][Retail_unsecured_vintage][IFRS9 stage]
[IFRSNineActuals][Secured_stage_migrations][IFRS9 stage]
[IFRSNineActuals][Unsecured_stage_migrations][IFRS9 stage]
[IFRSNineActuals][Wholesale_provisions][IFRS9 stage]
[IFRSNineActuals][Wholesale_risk_measures][IFRS9 stage]
[IFRSNineActuals][Wholesale_stage_migrations][IFRS9 stage]
[IFRSNineProjections][IFRS9_impact][IFRS9 stage]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][IFRS9 stage]
[StructuredFinance][Covered_bonds][IFRS9 stage]
[StructuredFinance][Securitisation_positions][IFRS9 stage]
[UKCorporateExposures][UK_corporate_exposures][IFRS9 Stage]
IFRS9stage2classificationreason A classification class of reasons why the respective portfolio has become IFRS9 stage 2. [IFRSNineActuals][Retail_secured_RWA][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Retail_secured_stages][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Retail_secured_vintage][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Retail_unsecured_RWA][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Retail_unsecured_stages][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Retail_unsecured_vintage][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Wholesale_provisions][IFRS9 stage 2 classification reason]
[IFRSNineActuals][Wholesale_risk_measures][IFRS9 stage 2 classification reason]
IFRS9stageatT1 The stage of impairment as defined within IFRS9 for the portfolio at one quarter prior to the reporting date. For the first reporting period, please provide the historical data you have available (subject to internal parallel runs of IAS 39 and IFRS 9 impairment calculations). If this is unavailable, then please provide the information for the current period “T” only, and continue to build a “history” in future collections. Please use “unknown” in this case”. [IFRSNineActuals][Secured_stage_migrations][IFRS9 stage at T-1]
[IFRSNineActuals][Unsecured_stage_migrations][IFRS9 stage at T-1]
[IFRSNineActuals][Wholesale_stage_migrations][IFRS9 stage at T-1]
Illiquiditytype Classification of the nature of an illiquid, concentrated or one-way position. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Illiquidity type]
Impactamount A profit or loss figure or a risk weighted assets figure that represents the impact of a management action proposed by the submitting firm. If the impact is profit or loss related (e.g. profit after tax), then the impact should be a year-on-year number. If the impact relates to risk weighted assets or other capital resources / instruments, a cumulative number should be stated. [CapitalAndOtherProjections][Stress_case_management_actions][Impact amount]
ImpactedItem A balance sheet or profit or loss item that has been impacted by a management action. [CapitalAndOtherProjections][Stress_case_management_actions][Impacted item]
Impactlevel1 This represents the level at which the data is to be provided [Stressed_XVA_Projections][Impact_on_income][Impact level 1]
impactofanadversemarketscenarioonderivativesfinancingtransactionsandothercontracts Liquidity Coverage. Outflows. Total (DA)C 73.00.aRow Code310Column Code060 [Liquidity][Liquidity_ratios][impact of an adverse market scenario on derivatives, financing transactions and other contracts]
ImpactType The nature of the impact of a management action in regard to the balance sheet or P&L item that has been impacted. [CapitalAndOtherProjections][Stress_case_management_actions][Impact type]
ImpairmentCharge Amount of impairment taken in the time period specified. This should be the impairment charge recorded in the firms' P&L. In the 'Risk Measures by Portfolio' projections submission for retail/wholesale credit risk, this refers to the forecasted P&L impairment charge under Annual cyclical scenario. Impairment charge is typically expressed as a positive number (i.e. a loss is represented by a positive figure). For year 0 in the Structured_finance projections tab, please report the stock position, in every other subsequent projection period please report the flow during that year. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Impairment charge]
[CapitalAndOtherProjections][Structured_finance][Impairment charge]
[Intragrouppositions][Intra_group_assets][Impairment charge]
[RetailExcludingMortgageCredit][Trended_other][Impairment charge]
[RetailMortgageCredit][Trended_other][Impairment charge]
Impairmentchargeorotherloss A monetary amount indicating an impairment charge or other loss. [CapitalAndOtherProjections][Impairments_and_other_losses][Impairment charge or other loss]
Impairmentprovision To be completed only if 'Accounting Designation' is selected as 'Financial assets at amortised cost' or 'Financial assets at fair value through other comprehensive income'. If any specific impairments or value adjustments have been attached to this position (securitisation positions, covered bonds), and that have been taken through P&L, they should be specified here as a positive number. The minimum for this field is 0, and the maximum is the greater of the absolute of the book value and the current notional. The impairments which offset RWAs under either the IRB approach or under the Standardised Approach should have been taken as a charge to P&L. For the avoidance of doubt this is a stock measure (total, not incremental). [StructuredFinance][Covered_bonds][Impairment provision]
[StructuredFinance][Securitisation_positions][Impairment provision]
Impairmentsorotherlosslevel1 A heading for the breakdown by type of risk of impairment charge and other losses taken through profit or loss. [CapitalAndOtherProjections][Impairments_and_other_losses][Impairments or other loss level 1]
Impairmentsorotherlosslevel2 A lower level heading for the breakdown of impairment charge and other losses taken through profit or loss. [CapitalAndOtherProjections][Impairments_and_other_losses][Impairments or other loss level 2]
Income An income amount for a particular income stream. For gains or (-) losses on financial assets and liabilities held for trading this could be negative to indicate a loss. [BalanceSheetProjections][Other_income_details][Income]
[Feesandcostsconstantcurrency][Other_income_details][Income]
Incomeofwhichmarketrisk The total amount of income due to market movements including all market risks. Applicable only to 'gains or (-) losses on financial assets and liabilities held for trading'. A negative value indicates a loss. Fees and commissions must be excluded. [BalanceSheetProjections][Other_income_details][Income of which market risk]
[Feesandcostsconstantcurrency][Other_income_details][Income of which market risk]
Independentreviewclassification A classification of a models independent review status.. [Modelriskmanagement][Model_reviews][Independent review classification]
IndexedLTVBand The indexed loan to value at the reporting date. New business should be classified by LTV at origination. As a simplifying assumption the LTV banding for legacy products should then be assumed to remain constant until maturity. This only applies to CRE exposures. Within the Risk_measures tab, please provide as a banding within the bands provided, within the UK_CRE and UK_CRE_lower_limit tabs please provide this as an LTV value. [CorporateSovereignFinInstCreditRisk][Risk_measures][LTV band]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Indexed LTV]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Indexed LTV]
[IFRSNineActuals][Wholesale_risk_measures][LTV band]
Individualprovisionsfraud Impairments on assets within FINREP 4.3.1 and FINREP 4.4.1 that pertain to fraud. Collective provisions should be reported separately in the Trended_collective_provisions worksheet. [RetailExcludingMortgageCredit][Trended_other][Individual provisions fraud]
[RetailMortgageCredit][Trended_other][Individual provisions fraud]
Individualprovisionsnonfraud Impairments on assets within FINREP 4.3.1 and FINREP 4.4.1 that do not pertain to fraud. Collective provisions should be reported separately in the Trended_collective_provisions worksheet. [RetailExcludingMortgageCredit][Trended_other][Individual provisions non fraud]
[RetailMortgageCredit][Trended_other][Individual provisions non fraud]
Industrialclassification A classification scheme for industry sector. The permitted values are the section and division headings from the UK 2007 Standard Industrial Classification (SIC). [CorporateSovereignFinInstCreditRisk][Comments][Industrial classification]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Industrial classification]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Industrial classification]
[IFRSNineActuals][Wholesale_risk_measures][Industrial classification]
IndustrialclassificationUKcorporate The 5 digit UK Standard Industrial Classification (SIC) of the counterparty. [UKCorporateExposures][UK_corporate_exposures][Industrial classification]
Industrialsector Industry Sector of the counterparties that are subject to this methodology [Stressed_XVA_Projections][CVA_breakdown][Industrial sector]
Inflationrisksensitivityassets01Y Sum of inflation risks as at Year 0 for the securities with residual maturity in the bucket 0-1Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the inflation curve. Risks at the 1 year point should not be included in this column but in the column for Inflation risk sensitivity assets 1-5Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Inflation risk sensitivity assets 0-1Y]
Inflationrisksensitivityassets10Y Sum of inflation risks as at Year 0 for the securities >10Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the inflation curve. [Other_Fair_Valued_Items_Projections][OFVI_projections][Inflation risk sensitivity assets >10Y]
Inflationrisksensitivityassets15Y Sum of inflation risks as at Year 0 for the securities with residual maturity in the bucket 1-5Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the inflation curve. Risks at the 5 year point should not be included in this column but in the column for Inflation risk sensitivity assets 5-10Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Inflation risk sensitivity assets 1-5Y]
Inflationrisksensitivityassets510Y Sum of inflation risks as at Year 0 for the securities with residual maturity in the bucket 5-10y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the inflation curve. Risks at the 10 year point should not be included in this column but in the column for Inflation risk sensitivity assets >10Y [Other_Fair_Valued_Items_Projections][OFVI_projections][Inflation risk sensitivity assets 5-10Y]
Inflationrisksensitivityassetstotal Sum of the maturity bucketed risks. [Other_Fair_Valued_Items_Projections][OFVI_projections][Inflation risk sensitivity assets total]
InflowsSubjectto75Cap Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code330Column Code010 [Liquidity][Liquidity_ratios][Inflows Subject to 75% Cap]
Initialmarginrequirementposted Initial margin requirement that is posted in relation to both cleared and uncleared derivatives. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Initial margin requirement posted]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Initial margin requirement posted]
Initialmarginrequirementreceived Initial margin requirement that is received in relation to both cleared and uncleared derivatives. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Initial margin requirement received]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Initial margin requirement received]
Interestbasis An indication of the interest rate basis and the hedging of the exposure. [CorporateSovereignFinInstCreditRisk][UK_CRE][Interest basis]
InterestCoverageRatio Ratio of net rental income over interest expense. Net rental income is the rental income received from the property rather than any income received for other services but excluding costs such as agency fees or maintenance. Where there is cross-collateralisation, consider the net rental income and interest expense for all properties secured against the loan. If reporting syndicated loans, report the ratio corresponding to the entire syndicated loan. This data item is primarily relevant for CRE investment properties. It may also be relevant for CRE development properties where part of it is generating rent. If weighting is required at a portfolio level, use EAD or DB (if EAD is not available). Do not report for non CRE exposures. For special cases provide the following: guarantees: use passing rent to calculate ratio, vacant properties: set to 0. [CorporateSovereignFinInstCreditRisk][UK_CRE][Interest coverage ratio]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Interest coverage ratio]
InterestExpense As per FINREP tab 2.0 row ID 90. [BalanceSheetProjections][ALM_balance_sheet][Interest expense]
[StructuralHedge][Net_interest_income][Interestexpense]
InterestIncome As per FINREP tab 2.0 row ID 010. [BalanceSheetProjections][ALM_balance_sheet][Interest income]
[StructuralHedge][Net_interest_income][Interestincome]
InterestMechanism An indication of whether an instrument pays fixed rate interest or floating rate interest. Zero interest is considered fixed rate. For floating coupons subject to a cap or floor that is currently triggered, please select fixed. [StructuredFinance][Securitisation_positions][Interest mechanism]
Interestraterisksensitivityassets01Y Sum of interest rate risks as at Year 0 for the securities with residual maturity in the bucket 0-1Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the interest rate curve. Risks at the 1 year point should not be included in this column but in the column for Interest rate risk sensitivity assets 1-5Y [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity assets 0-1Y]
Interestraterisksensitivityassets10Y Sum of interest rate risks as at Year0 for the securities >10Y. This risk should be represented as the change in NPV resulting from 1 basis point increase of the relevant points of the interest rate curve. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity assets >10Y]
Interestraterisksensitivityassets15Y Sum of interest rate risks as at Year 0 for the securities with residual maturity in the bucket 1-5Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the interest rate curve. Risks at the 5 year point should not be included in this column but in the column for Interest rate risk sensitivity assets 5-10Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity assets 1-5Y]
Interestraterisksensitivityassets510Y Sum of interest rate risks as at Year 0 for the securities with residual maturity in the bucket 5-10Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the interest rate curve. Risks at the 10 year point should not be included in this column but in the column for Interest rate risk sensitivity assets 10Y [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity assets 5-10Y]
Interestraterisksensitivityassetstotal Sum of the maturity bucketed risks. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity assets total]
Interestraterisksensitivityhedginginstruments01Y Sum of interest rate risks as at Year 0 for the hedging instruments to the securities with residual maturity in the bucket 0-1Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the interest rate curve. Risks at the 1 year point should not be included in this column but in the column for Interest rate risk sensitivity hedging instruments 1-5Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity hedging instruments 0-1Y]
Interestraterisksensitivityhedginginstruments10Y Sum of interest rate risks as at Year 0 for the hedging instruments to the securities >10Y. This risk should be represented as the change in NPV resulting from 1 basis point increase of the relevant points of the interest rate curve. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity hedging instruments >10Y]
Interestraterisksensitivityhedginginstruments15Y Sum of interest rate risks as at Year 0 for the hedging instruments to the securities with residual maturity in the bucket 1-5Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the interest rate curve. Risks at the 5 year point should not be included in this column but in the column for Interest rate risk sensitivity hedging instruments 5-10Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity hedging instruments 1-5Y]
Interestraterisksensitivityhedginginstruments510Y Sum of interest rate risks as at Year 0 for the hedging instruments to the securities with residual maturity in the bucket 5-10Y. This risk should be represented as the change in Net Present Value (NPV) resulting from 1 basis point increase of the relevant points of the interest rate curve. Risks at the 10 year point should not be included in this column but in the column for Interest rate risk sensitivity hedging instruments 10Y. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity hedging instruments 5-10Y]
Interestraterisksensitivityhedginginstrumentstotal Sum of the maturity bucketed risks. [Other_Fair_Valued_Items_Projections][OFVI_projections][Interest rate risk sensitivity hedging instruments total]
Internalcreditrating 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, firm's internal ratings, etc. Firms should provide credit ratings from regulatory approved models, where available. This can either be one of the enumeration lists given or firm defined. It is a mandatory requirement to fill in this data item. [CorporateSovereignFinInstCreditRisk][Large_exposures][Internal credit rating]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Internal credit rating]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Internal credit rating]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Internal credit rating]
[IFRSNineActuals][Wholesale_rating_migrations][Internal credit rating]
[RetailExcludingMortgageCredit][RWA][Internal credit rating]
[RetailMortgageCredit][RWA][Internal credit rating]
[UKCorporateExposures][UK_corporate_exposures][Internal credit rating]
InternalcreditratingatT1 A value selected from a defined credit rating scale in a given credit rating scheme at the quarter prior to the reporting date. Examples of credit rating schemes may include: Moody’s ratings, firm's internal ratings, etc. Firms should provide credit ratings from regulatory approved models, where available. This can either be one of the enumeration lists given or firm defined. It is a mandatory requirement to fill in this data item. For the first reporting period, please provide the historical data you have available (subject to internal parallel runs of IAS 39 and IFRS 9 impairment calculations). If this is unavailable, then please provide the information for the current period “T” only, and continue to build a “history” in future collections. Please use “unknown” in this case”. [IFRSNineActuals][Wholesale_rating_migrations][Internal credit rating at T-1]
Intragroupassets Intra group assets category [Intragrouppositions][Intra_group_assets][Accounting category]
Intragroupliabilities Intra group liabilities category [Intragrouppositions][Intra_group_liabilities][Accounting category]
InvestingandfundingcostAVA The amount of AVA related to Investing and Funding Costs as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Totals][Investing and funding cost AVA]
ISIN International Securities Identification Number, or equivalent (e.g. CUSIP), of instrument issued. For a bespoke or index transaction (securitised position), 'NA' could be entered here. Where new issuance is identified for projection periods, please provide a unique code decided by the reporting firm to identify these. For both Tradeable securities and Financial sector exposures templates please put 'Not available' when the ISIN is not available. For Short term funding template please report the ISIN of the collateral (if applicable). [FinancialSectorExposures][Term_exposures][ISIN]
[Shorttermfunding][Secured_lending][Collateral ISIN]
[Shorttermfunding][Secured_lending][ISIN]
[StructuredFinance][Covered_bonds][ISIN]
[StructuredFinance][Securitisation_positions][ISIN]
[TradeableSecurities][Tradeable_securities][ISIN]
Issuancedate The date on which a capital instrument is issued. [WholesaleIssuanceProjections][Wholesale_issuance][Issuance date]
Issuancespreadover3m The 3 month spread on the security at the time of issuance. [WholesaleIssuanceProjections][Wholesale_issuance][Issuance spread over 3m]
Issuecurrency The currency in which the capital instrument is issued. [WholesaleIssuanceProjections][Wholesale_issuance][Issue currency]
Issuername Name of issuer. [TradeableSecurities][Tradeable_securities][Issuer name]
IssuerSIC SIC Industry Classification code of issuer. For both Tradeable securities and Financial sector exposures templates please put 'Not available' when the ISIN is not available. [TradeableSecurities][Tradeable_securities][Issuer SIC]
L1EHQCBvalueaccordingtoArticle9unadjusted Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code100Column Code010 [Liquidity][Liquidity_ratios][L1 EHQCB value according to Article 9: unadjusted]
L1exclEHQCBliquiditybuffervalueaccordingtoArticle9unadjusted Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code040Column Code010 [Liquidity][Liquidity_ratios][L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted]
L2AaccordingtoArticle9unadjusted Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code160Column Code010 [Liquidity][Liquidity_ratios][L2A according to Article 9: unadjusted]
L2BaccordingtoArticle9unadjusted Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code220Column Code010 [Liquidity][Liquidity_ratios][L2B according to Article 9: unadjusted]
LegalEntity The name of the primary legal entity (unconsolidated) where the operational risk loss occurred. [OperationalRisk][Operational_loss_details][Legal entity]
Legalentityidentifier The Legal Entity Identifier (LEI) is a 20-character, alpha-numeric code, to uniquely identify legally distinct entities that engage in financial transactions. [CorporateSovereignFinInstCreditRisk][Large_exposures][Legal entity identifier]
[Shorttermfunding][Funding][Counterparty ID]
[Shorttermfunding][Secured_lending][Counterparty ID]
Lendingproducttype Distinguishes between different types of secured lending. [Shorttermfunding][Secured_lending][Lending product type]
Leverageexposureitem The exposure type for leverage. [OtherCapitalProjections][Leverage_exposure][Leverage exposure item]
LeverageFXitem A high level Leverage FX item. [OtherCapitalProjections][FX_leverage][Leverage FX item]
LeverageItem A heading in the breakdown of leverage figures. [CapitalAndOtherProjections][Leverage][Leverage item]
[Capitaltransitionals][Leverage][Leverage item]
LGD Firm's own estimation of the Loss Given Default (LGD) of a counterparty or an exposure-weighted average of a counterparty bucket, before (for actual data) or after (for scenario results data) the stress is applied. Input as decimal between 0 and 1 [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][LGD]
LGDregulatory 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). [CapitalAndOtherProjections][Risk_measures_by_portfolio][LGD regulatory]
[CapitalAndOtherProjections][Structured_finance][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][Large_exposures][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][Risk_measures][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE][LGD regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][LGD regulatory]
[IFRSNineActuals][Retail_secured_RWA][LGD regulatory]
[IFRSNineActuals][Retail_unsecured_RWA][LGD regulatory]
[IFRSNineActuals][Wholesale_risk_measures][LGD regulatory]
[RetailExcludingMortgageCredit][RWA][LGD regulatory]
[RetailMortgageCredit][RWA][LGD regulatory]
[StructuredFinance][Securitisation_positions][LGD regulatory]
[UKCorporateExposures][UK_corporate_exposures][LGD regulatory]
LiabilityReconciliationAmount A monetary amount associated with a liability reconciliation Item. [CapitalAndOtherProjections][Pensions_liabilities_recon][Liability reconciliation amount]
LiabilityReconciliationItem A classification of items in the reconciliation of movements in liabilities in a pension scheme, in accordance with IAS19 paragraphs 140 - 141. [CapitalAndOtherProjections][Pensions_liabilities_recon][Liability reconciliation item]
LIBORSwapCurve The LIBOR-based currency swap curve for which the interest rate projections are provided. [BalanceSheetProjections][ALM_interest_rates][LIBOR swap curve]
LifetimePDbandatorigination A banding for the Lifetime Probability of Default at the origination of the loan associated with the firm's internal point-in-time behavioural score that is generated for existing customers and is used for customer management purposes; which may or may not be the IRB PD used in Basel models. Please provide the balance weighted average. [IFRSNineActuals][Retail_secured_RWA][Lifetime PD band at origination]
[IFRSNineActuals][Retail_unsecured_RWA][Lifetime PD band at origination]
[IFRSNineActuals][Wholesale_risk_measures][Lifetime PD band at origination]
LifetimePDbandrepdate A banding for the Lifetime Probability of Default at the reporting date associated with the firm's internal point-in-time behavioural score that is generated for existing customers and is used for customer management purposes; which may or may not be the IRB PD used in Basel models. Please provide the balance weighted average. [IFRSNineActuals][Retail_unsecured_RWA][Lifetime PD band at reporting date]
LIQUIDITYCOVERAGERATIOPCT Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code030Column Code010 [Liquidity][Liquidity_ratios][LIQUIDITY COVERAGE RATIO (%)]
Liquidityhorizon The time required to exit or immunise a risk position in a stressed market environment without materially affecting market prices. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Liquidity horizon]
[Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Liquidity horizon]
Liquiditytype Liquidity type category [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Liquidity type]
LoantoendvalueforCREdevelopmentloans The loan to value of the completed property (the end value) for commercial real estate developments. [CorporateSovereignFinInstCreditRisk][UK_CRE][Loan to end value for CRE development loans]
Locationofproperty Primarily these are regions of the United Kingdom as defined by the first level Nomenclature of Territorial Units for Statistics (NUTS) regions ("NUTS 1 regions") within the European Union. The Non UK option should be used for all properties that are not located within the UK. [CorporateSovereignFinInstCreditRisk][UK_CRE][Location of property]
LossatWriteOff Balance written off net of recoveries for the period. This is the amount written off mortgage / loan balances in the quarter (and off provisions charged to the income and expenditure account) and is to be on a basis consistent with amounts shown in the firm's published accounts as 'written off' within the analysis of changes in loss provision usually appearing as notes to the accounts. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Loss at write off]
[RetailExcludingMortgageCredit][Trended_other][Loss at write off]
[RetailMortgageCredit][Trended_other][Loss at write off]
LossgainexcludinghedgingreportedinICAAP Gains or losses to the deal in the pipeline excluding hedging impact. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Loss/gain excluding hedging reported in ICAAP]
LossgainincludinghedgingreportedinICAAP Gains or losses to the deal in the pipeline including hedging impact. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Loss/gain including hedging reported in ICAAP]
Lowmaterialitymodels The number of models which are classified as having a low materiality. [Modelriskmanagement][Model_reviews][Low materiality models]
LTVatorigination Loan to value ratio at origination of the loan (loan to value of the property). [CorporateSovereignFinInstCreditRisk][UK_CRE][LTV at origination]
Managementactiondescription A description of the management action proposed by the submitting firm. When reporting the Total of all management actions this should be reported as "Total". [CapitalAndOtherProjections][Stress_case_management_actions][Management action description]
[Liquidity][Liquidity_ratios][Management action description]
Managementactionnumber A unique identifier of a management action specified by the submitting firm. When reporting the Total of all management actions this should be reported as "0". [CapitalAndOtherProjections][Stress_case_management_actions][Management action number]
[Liquidity][Liquidity_ratios][Management action number]
Managementadjpercentageuplift The cumulative percentage uplift made over the adjustment period to model outcomes due to remaining model uncertainties or conservatism. [Modelriskmanagement][Model_adjustments][Management adjustment percentage uplift]
Managementadjustmentamount The cumulative adjustment amount made over the adjustment period to model outcomes due to remaining model uncertainties or conservatism. [Modelriskmanagement][Model_adjustments][Management adjustment amount]
Managementadjustmentamounteveryyear The total amount of adjustments made to model outputs in a risk-model category for a projection period (year) due to remaining model uncertainties, conservatism and other management decisions relating to the model. [Modeladjustments][Model_adjustments][Management adjustment amount]
MarginalCVAimpact CVA Impact of changing only this risk factor [Stressed_XVA_Projections][Marginal_drivers][Marginal CVA impact]
MarginalFVAimpact FVA Impact of changing only this risk factor [Stressed_XVA_Projections][Marginal_drivers][Marginal FVA impact]
Marketgrowthrateassumption The annual market growth rate assumption underlying new lending (gross) projections at the beginning of a period. [BalanceSheetProjections][Market_volumes_UK_only][Market growth rate assumption]
MarketpriceuncertaintyAVA The amount of AVA related to Market Price Uncertainty as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Investing_and_funding][Market price uncertainty AVA]
[Stressed_PVA_Projections][Market_price_uncertainty][Market price uncertainty AVA]
[Stressed_PVA_Projections][Totals][Market price uncertainty AVA]
[Stressed_PVA_Projections][Unearned_credit_spreads][Market price uncertainty AVA]
Marketriskassetclass Market risk split by asset class [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Market risk asset class]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Market risk asset class]
[Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Market risk asset class]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Market risk asset class]
[Market_Risk_Stressed_ProfitorLoss_Projections][Totals][Market risk asset class]
Marketriskcapitalrequirementlevel1 A classification of traded risk used to capture capital requirements related to market risk and credit valuation adjustment. [MarketriskandCVARWA][Comments][Market risk capital requirement level 1]
[MarketriskandCVARWA][Traded_risk_capital_requirement][Market risk capital requirement level 1]
Marketriskcapitalrequirementlevel2 A breakdown of market risk and CVA RWA (capital requirements level 1) into components that specify the approach or method used for the capital requirements calculation. [MarketriskandCVARWA][Traded_risk_capital_requirement][Market risk capital requirement level 2]
Marketriskgeographicregion Geographic region to be defined in the Traded Risk scenario methodology [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Geographic region]
[Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Geographic region]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Geographic region]
[Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Geographic region]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Geographic region]
MarketValue The price a financial instrument or other asset would fetch on the financial markets. [Shorttermfunding][Secured_lending][Market value]
Marketvaluemovement The incremental change in market value during the specified projection year (not the cumulative market value movements over the life of the relevant scenario). Losses should be recorded as a negative number, gains as a positive number. [CapitalAndOtherProjections][Structured_finance][Market value movement]
Marketvalueofexposure The market value at the reporting date of the exposure. This should only be reported where applicable. This should be reported in the currency of exposure and not the reporting currency. They can be reported as positive (long issuer risk) or negative (short issuer risk). [FinancialSectorExposures][Term_exposures][Market value of exposure]
Marketvalueofholding The market value at the reporting date of the holding. This should be reported in the currency of holding and not the reporting currency. They can be reported as positive (long issuer risk) or negative (short issuer risk). [TradeableSecurities][Tradeable_securities][Market value of holding]
MaturityBand The time to maturity as at the reporting date. [CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Maturity band]
MaturityDate The date on which the principal amount of a note or any other debt instrument becomes due and is repaid to the investor and interest payments stop. Format - YYYYMMDD. If perpetual please input 99991231. [CorporateSovereignFinInstCreditRisk][UK_CRE][Maturity date]
[FinancialSectorExposures][Term_exposures][Maturity date]
[Shorttermfunding][Secured_lending][Maturity date]
[TradeableSecurities][Tradeable_securities][Maturity date]
[UKCorporateExposures][UK_corporate_exposures][Maturity date]
[WholesaleIssuanceProjections][Wholesale_issuance][Maturity date]
MaturityPeriod The period in which the balance is assumed to mature. This is likely to be a behaviouralised estimate. [StructuralHedge][Maturity_profile][Maturity period]
Maturityyield This should reflect the anticipated return on any net fixed assets in which hedged balances maturing in a specific MaturityPeriod are invested. These fixed assets may be either external or internal transfer pricing trades intended to proxy the profile and return attributable to the structural hedge programme. [StructuralHedge][Maturity_profile][Maturity yield]
Maximumdistributableamountconstituent A heading used in the reporting of maximum distributable amount data. Please complete the MDA template with refrence to http://www.prarulebook.co.uk/rulebook/Content/Chapter/211279/20-09-2018. [CapitalAndOtherProjections][Maximum_distributable_amount][Maximum distributable amount constituent]
Mediummaterialitymodels The number of models which are classified as having a medium materiality. [Modelriskmanagement][Model_reviews][Medium materiality models]
MemberContributions The value of contributions made by members of the pension scheme in a specified year. [PensionsRisk][Pensions_cash_flow][Member contributions]
Methodologyname Unique name for the counterparty-credit shock methodology chosen, and referenced in the Basis of Preparation [Stressed_XVA_Projections][CVA_breakdown][Methodology name]
Methodologynumber Unique number for the methodology chosen, and referenced in the Basis of Preparation [Stressed_XVA_Projections][CVA_breakdown][Methodology number]
Methodologytype The methodology used to calculate the AVA, either based on market data or on an expert based approach. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Methodology type]
[Stressed_PVA_Projections][Concentrated_position][Methodology type]
[Stressed_PVA_Projections][Investing_and_funding][Methodology type]
[Stressed_PVA_Projections][Market_price_uncertainty][Methodology type]
[Stressed_PVA_Projections][Model_risk][Methodology type]
[Stressed_PVA_Projections][Totals][Methodology type]
[Stressed_PVA_Projections][Unearned_credit_spreads][Methodology type]
Metric A liquidity, structural / funding or other metric used for asset liability management or liquidity purposes. [BalanceSheetProjections][ALM_metrics][Metric]
Metricvalue The value of a specified ALM metric for a specified currency. [BalanceSheetProjections][ALM_metrics][Metric value]
Misconductitem A summary misconduct type. [MaterialMisconductCostsActuals][Misconduct_historical][Misconduct item]
[MaterialMisconductCostsProjections][Misconduct_projections][Misconduct item]
Modeladjustmentamount The cumulative adjustment amount made over the adjustment period to a model due to known model deficiencies. [Modelriskmanagement][Model_adjustments][Model adjustment amount]
Modeladjustmentamounteveryyear Total amount of adjustments made to model outputs in a risk model category for a projection period (year) due to known model deficiencies. [Modeladjustments][Model_adjustments][Model adjustment amount]
Modeladjustmentpercentageuplift The cumulative percentage uplift made over the adjustment period to a model due to known model deficiencies. [Modelriskmanagement][Model_adjustments][Model adjustment percentage uplift]
Modeladjustmentriskcategory A categorisation of models to assess adjustments made to them [Modeladjustments][Model_adjustments][Model adjustment risk category]
[Modelriskmanagement][Model_adjustments][Model adjustment risk category]
Modelname Firm's internal name for the model. [Stressed_PVA_Projections][Model_risk][Model name]
ModelriskAVA The amount of AVA related to Model Risk as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Investing_and_funding][Model risk AVA]
[Stressed_PVA_Projections][Model_risk][Model risk AVA]
[Stressed_PVA_Projections][Totals][Model risk AVA]
[Stressed_PVA_Projections][Unearned_credit_spreads][Model risk AVA]
Modelriskcategory A categorisation of models covering high level risk types. [Modelriskmanagement][Model_reviews][Model risk category]
Modelriskcategorydescription A description of the models identified within the Model risk category column. Please only provide entries for this column for Scenario expansion models and other models. [Modelriskmanagement][Model_reviews][Model risk category description]
MRELitem A high level MREL item. [MRELresources][MREL_resources][MREL item]
Nameofborrower The full legal name of the borrower. [CorporateSovereignFinInstCreditRisk][UK_CRE][Name of borrower]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Name of borrower]
Nameofdefaultedissuer The full legal name of the issuer who is chosen as having defaulted. The defaulted issuer should be consistent with the firm's choice for counterparty default. [Other_Fair_Valued_Items_Projections][Issuer_default_loss][Name of defaulted issuer]
Nameofsegment Description of the corresponding IFRS segment [RevenuesandCostsIBD][Reconciliations][Name of segment]
Netcapitaldriverimpact Impact on CVA plus FVA plus all hedges of moving this risk-driver and credit spreads/funding spreads minus the marginal impact of moving credit spreads/funding-spreads only. [Stressed_XVA_Projections][Net_drivers][Net capital driver impact]
Netdefaultloss The summation of Default loss under stress + Unstressed accounting CVA (post-hedge) [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Net default loss]
[Counterparty_Credit_Risk_Losses_Projections][Default_loss][Net default loss]
Netnewbusiness Projected new business (loans, deposits, etc.) expected for a specified period less the projected repayments within the same period. [BalanceSheetProjections][Market_volumes_UK_only][Net new business]
Netrentalincome Net rental income is the rental income received from the property rather than any income received for other services but after deducting costs such as agency fees or maintenance. Where there is cross-collateralisation, consider the net rental income and interest expense for all properties secured against the loan. If reporting syndicated loans, specify the amount of net rental income corresponding to the entire portfolio of properties, rather than net rental income apportioned to a specific loan. For special cases provide the following: guarantees: report passing rent, vacant properties: set to 0. [CorporateSovereignFinInstCreditRisk][UK_CRE][Net rental income]
NewbusinessaveragePDregulatory Average probability of default for new business originated in a given period. This is the same as the application scoring PD. It should be IRB for IRB portfolios and whatever else that the firm uses for non-IRB and should be reported consistently with COREP. If there is no score or a PD for non-IRB then the measure can be left blank. For overdrafts, new business is when the overdraft facility is first granted or if data is not available when the associated current account is opened. [RetailExcludingMortgageCredit][Trended_other][New business average PD regulatory]
[RetailMortgageCredit][Trended_other][New business average PD regulatory]
NewCustomerRate Balance weighted average rate on gross new volumes. Year 0 new customer rate should reflect the latest pricing of the product and provide a suitable starting point for New Customer Rate evolution. [BalanceSheetProjections][ALM_balance_sheet][New customer rate]
Newdrawnbalanceinperiod Drawn balance at the year-end reporting date (consistent with “Drawn Balance”), restricted to the subset of new customers/obligors lent to within the year (i.e. customers/obligors who were not on the balance sheet at year-end for the prior period), and were therefore assumed to be allocated to IFRS 9 stage 1 at the point of new lending. Further advances or drawing to existing customers/obligors should not be included. [IFRSNineProjections][Risk_measures_by_portfolioIFRS9][New drawn balance in period]
Newlendingexcludingremortgages Number of mortgages advanced during the period (i.e. gross approvals) excluding re-mortgaging. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][New lending excluding remortgages]
Newlendingincludingremortgages Number of mortgages advanced during the period (i.e. gross approvals) including re-mortgaging. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][New lending including remortgages]
NIIBalancesheetheader A high-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [StructuralHedge][Net_interest_income][Balance sheet header]
NIIBook Back book references balances held as at reporting date. Front book refers to future new business written in the relevant ProjectionPeriod [StructuralHedge][Net_interest_income][Book]
Nominalamountissuecurrency The stated or face amount or value of an instrument in the issued currency. [WholesaleIssuanceProjections][Wholesale_issuance][Nominal amount issue currency]
Nominalamountreportingcurrency The stated or face amount or value of an instrument in the reporting currency. [WholesaleIssuanceProjections][Wholesale_issuance][Nominal amount reporting currency]
Notionalamount The notional amount of the securities as at Year 0 [Other_Fair_Valued_Items_Projections][OFVI_projections][Notional amount]
[Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Notional amount]
NotionalamountBT The gross notional amount of the asset reported, net of any short exposures. [Shorttermfunding][Secured_lending][Notional value]
NotionalamountofwhichHQLAeligible The notional amount of the securities eligible for High Quality Liquidity Assets as at Year 0 [Other_Fair_Valued_Items_Projections][OFVI_projections][Notional amount of which HQLA eligible]
Notionalvalueofexposure The notional gross exposure, this should be reported without netting against credit risk mitigation from CDS or other derivatives, but can be reported net of a short position in the same instrument. Exposures between exposure types should not be netted. This should be reported in the currency of exposure and not the reporting currency. They can be reported as positive (long issuer risk) or negative (short issuer risk). [FinancialSectorExposures][Term_exposures][Notional value of exposure]
Notionalvalueofholding The notional gross holding, this should be reported without netting against credit risk mitigation from CDS or other derivatives, but can be reported net of a short position in the same instrument. This should be reported in the currency of holding and not the reporting currency. They can be reported as positive (long issuer risk) or negative (short issuer risk). [TradeableSecurities][Tradeable_securities][Notional value of holding]
Numberofdelinquentloansgreaterthan6MIA The total number of loans greater than six months in arrears. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of delinquent loans greater than 6 MIA]
[RetailMortgageCredit][Arrears][Number of delinquent loans greater than 6 MIA]
NumberofEvents The number of losses caused by the common operational risk event or number of multiple events linked to the root-event. [OperationalRisk][Operational_loss_details][Number of events]
Numberofloans The number of loans refers to the volume of open/active accounts within a designated portfolio. For any products (i.e. mortgages) where a single which consists of more than 1 sub accounts, we would like this to be counted as 1. [IFRSNineActuals][Retail_secured_RWA][Number of loans]
[IFRSNineActuals][Retail_unsecured_RWA][Number of loans]
NumberofLoansgreaterthan3MIA Total number of loans greater than 3 months in arrears. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of loans greater than 3 MIA]
Numberofnewdelinquentloansthatbecamegreaterthan6MIAinperiod The number of loans that became greater than six months in arrears in the stated period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of new delinquent loans that became greater than 6 MIA in period]
[RetailMortgageCredit][Arrears][Number of new delinquent loans that became greater than 6 MIA in period]
NumberofObligors The number of obligors associated with a given group of exposures. [CorporateSovereignFinInstCreditRisk][Risk_measures][Number of obligors]
[IFRSNineActuals][Wholesale_risk_measures][Number of obligors]
NumberofPropertiesinPossession A count of the number of properties that are in possession as of the end of the period under consideration (stock). [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of properties in possession]
Numberofpropertysalesinperiod A count of the number of properties sold in the period under consideration. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of property sales in period]
NumberofRepossessionsduetoArrears A count of the number of retail mortgage exposures >6MIA (i.e. originating from a particular arrears period) that were repossessed during a particular repossession period. [RetailMortgageCredit][Repossessions][Number of repossessions due to arrears]
Numberofrepossessionsinperiod A count of the number of retail mortgage exposures that have been repossessed during a particular period [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Number of repossessions in period]
[RetailMortgageCredit][Trended_other][Number of repossessions in period]
NumberofSales A count of the number of sales of re-possessed properties during a particular period. [RetailMortgageCredit][Sales][Number of sales]
Observationvalue The balance sheet value of the reported instrument. [Shorttermfunding][Funding][Observation value]
OCIreservebalance Reserve from unrealised gains or losses from revaluation of assets that flow through Other comprehensive income. Losses should be reflected by a positive number, and gains by a negative number. On both the actuals and projections templates this value is the total balance of the OCI reserve at any point in time, not the change in reserve. [CapitalAndOtherProjections][Structured_finance][OCI reserve balance]
[StructuredFinance][Covered_bonds][OCI reserve balance]
[StructuredFinance][Securitisation_positions][OCI reserve balance]
OperationalriskAVA The amount of AVA related to Operational Risk as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Totals][Operational risk AVA]
Organisationalunitlevel1 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). [AssetLiabilityManagement][Non_traded_market_risk][Organisational unit level 1]
[BalanceSheetProjections][ALM_balance_sheet][Organisational unit level 1]
[BalanceSheetProjections][Cards_other_income][Organisational unit level 1]
[BalanceSheetProjections][Comments][Organisational unit level 1]
[BalanceSheetProjections][Full_time_employees][Organisational unit level 1]
[BalanceSheetProjections][Other_expense_details][Organisational unit level 1]
[BalanceSheetProjections][Other_income_details][Organisational unit level 1]
[BalanceSheetProjections][Profit_or_loss_business_line][Organisational unit level 1]
[CapitalAndOtherProjections][Comments][Organisational unit level 1]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Organisational unit level 1]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Comments][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Provisions][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Organisational unit level 1]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Organisational unit level 1]
[CounterpartycreditriskRWA][CCR_RWAs][Organisational unit level 1]
[CounterpartycreditriskRWA][Comments][Organisational unit level 1]
[Feesandcostsconstantcurrency][Other_expense_details][Organisational unit level 1]
[Feesandcostsconstantcurrency][Other_income_details][Organisational unit level 1]
[FVORWA][RWA][Organisational unit level 1]
[IFRSNineActuals][Retail_secured_RWA][Organisational unit level 1]
[IFRSNineActuals][Retail_secured_stages][Organisational unit level 1]
[IFRSNineActuals][Retail_secured_vintage][Organisational unit level 1]
[IFRSNineActuals][Retail_unsecured_RWA][Organisational unit level 1]
[IFRSNineActuals][Retail_unsecured_stages][Organisational unit level 1]
[IFRSNineActuals][Retail_unsecured_vintage][Organisational unit level 1]
[IFRSNineActuals][Secured_PD_migrations][Organisational unit level 1]
[IFRSNineActuals][Secured_stage_migrations][Organisational unit level 1]
[IFRSNineActuals][Unsecured_PD_migrations][Organisational unit level 1]
[IFRSNineActuals][Unsecured_stage_migrations][Organisational unit level 1]
[IFRSNineActuals][Wholesale_provisions][Organisational unit level 1]
[IFRSNineActuals][Wholesale_risk_measures][Organisational unit level 1]
[Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Organisational unit level 1]
[Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Organisational unit level 1]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Organisational unit level 1]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Organisational unit level 1]
[RetailExcludingMortgageCredit][Comments][Organisational unit level 1]
[RetailExcludingMortgageCredit][RWA][Organisational unit level 1]
[RetailExcludingMortgageCredit][Trended_arrears][Organisational unit level 1]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Organisational unit level 1]
[RetailExcludingMortgageCredit][Trended_other][Organisational unit level 1]
[RetailMortgageCredit][Arrears][Organisational unit level 1]
[RetailMortgageCredit][Comments][Organisational unit level 1]
[RetailMortgageCredit][LTV_arrears_MIA][Organisational unit level 1]
[RetailMortgageCredit][LTV_arrears_PIA][Organisational unit level 1]
[RetailMortgageCredit][LTV_repayment][Organisational unit level 1]
[RetailMortgageCredit][Repossessions][Organisational unit level 1]
[RetailMortgageCredit][RWA][Organisational unit level 1]
[RetailMortgageCredit][Sales][Organisational unit level 1]
[RetailMortgageCredit][Trended_arrears][Organisational unit level 1]
[RetailMortgageCredit][Trended_collective_provisions][Organisational unit level 1]
[RetailMortgageCredit][Trended_other][Organisational unit level 1]
[RetailMortgageCredit][Vintage_analysis][Organisational unit level 1]
[StructuredFinance][Covered_bonds][Organisational unit level 1]
[StructuredFinance][Securitisation_positions][Organisational unit level 1]
Organisationalunitlevel2 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). [AssetLiabilityManagement][Non_traded_market_risk][Organisational unit level 2]
[BalanceSheetProjections][ALM_balance_sheet][Organisational unit level 2]
[BalanceSheetProjections][Cards_other_income][Organisational unit level 2]
[BalanceSheetProjections][Comments][Organisational unit level 2]
[BalanceSheetProjections][Full_time_employees][Organisational unit level 2]
[BalanceSheetProjections][Other_expense_details][Organisational unit level 2]
[BalanceSheetProjections][Other_income_details][Organisational unit level 2]
[BalanceSheetProjections][Profit_or_loss_business_line][Organisational unit level 2]
[CapitalAndOtherProjections][Comments][Organisational unit level 2]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Organisational unit level 2]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Comments][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Provisions][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Organisational unit level 2]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Organisational unit level 2]
[CounterpartycreditriskRWA][CCR_RWAs][Organisational unit level 2]
[CounterpartycreditriskRWA][Comments][Organisational unit level 2]
[Feesandcostsconstantcurrency][Other_expense_details][Organisational unit level 2]
[Feesandcostsconstantcurrency][Other_income_details][Organisational unit level 2]
[FVORWA][RWA][Organisational unit level 2]
[IFRSNineActuals][Retail_secured_RWA][Organisational unit level 2]
[IFRSNineActuals][Retail_secured_stages][Organisational unit level 2]
[IFRSNineActuals][Retail_secured_vintage][Organisational unit level 2]
[IFRSNineActuals][Retail_unsecured_RWA][Organisational unit level 2]
[IFRSNineActuals][Retail_unsecured_stages][Organisational unit level 2]
[IFRSNineActuals][Retail_unsecured_vintage][Organisational unit level 2]
[IFRSNineActuals][Secured_PD_migrations][Organisational unit level 2]
[IFRSNineActuals][Secured_stage_migrations][Organisational unit level 2]
[IFRSNineActuals][Unsecured_PD_migrations][Organisational unit level 2]
[IFRSNineActuals][Unsecured_stage_migrations][Organisational unit level 2]
[IFRSNineActuals][Wholesale_provisions][Organisational unit level 2]
[IFRSNineActuals][Wholesale_risk_measures][Organisational unit level 2]
[Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Organisational unit level 2]
[Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Organisational unit level 2]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Organisational unit level 2]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Organisational unit level 2]
[RetailExcludingMortgageCredit][Comments][Organisational unit level 2]
[RetailExcludingMortgageCredit][RWA][Organisational unit level 2]
[RetailExcludingMortgageCredit][Trended_arrears][Organisational unit level 2]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Organisational unit level 2]
[RetailExcludingMortgageCredit][Trended_other][Organisational unit level 2]
[RetailMortgageCredit][Arrears][Organisational unit level 2]
[RetailMortgageCredit][Comments][Organisational unit level 2]
[RetailMortgageCredit][LTV_arrears_MIA][Organisational unit level 2]
[RetailMortgageCredit][LTV_arrears_PIA][Organisational unit level 2]
[RetailMortgageCredit][LTV_repayment][Organisational unit level 2]
[RetailMortgageCredit][Repossessions][Organisational unit level 2]
[RetailMortgageCredit][RWA][Organisational unit level 2]
[RetailMortgageCredit][Sales][Organisational unit level 2]
[RetailMortgageCredit][Trended_arrears][Organisational unit level 2]
[RetailMortgageCredit][Trended_collective_provisions][Organisational unit level 2]
[RetailMortgageCredit][Trended_other][Organisational unit level 2]
[RetailMortgageCredit][Vintage_analysis][Organisational unit level 2]
[StructuredFinance][Covered_bonds][Organisational unit level 2]
[StructuredFinance][Securitisation_positions][Organisational unit level 2]
Organisationalunitlevel3 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). [AssetLiabilityManagement][Non_traded_market_risk][Organisational unit level 3]
[BalanceSheetProjections][ALM_balance_sheet][Organisational unit level 3]
[BalanceSheetProjections][Cards_other_income][Organisational unit level 3]
[BalanceSheetProjections][Comments][Organisational unit level 3]
[BalanceSheetProjections][Other_expense_details][Organisational unit level 3]
[BalanceSheetProjections][Other_income_details][Organisational unit level 3]
[BalanceSheetProjections][Profit_or_loss_business_line][Organisational unit level 3]
[CapitalAndOtherProjections][Comments][Organisational unit level 3]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Organisational unit level 3]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Comments][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Provisions][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Organisational unit level 3]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Organisational unit level 3]
[CounterpartycreditriskRWA][CCR_RWAs][Organisational unit level 3]
[CounterpartycreditriskRWA][Comments][Organisational unit level 3]
[FVORWA][RWA][Organisational unit level 3]
[IFRSNineActuals][Retail_secured_RWA][Organisational unit level 3]
[IFRSNineActuals][Retail_secured_stages][Organisational unit level 3]
[IFRSNineActuals][Retail_secured_vintage][Organisational unit level 3]
[IFRSNineActuals][Retail_unsecured_RWA][Organisational unit level 3]
[IFRSNineActuals][Retail_unsecured_stages][Organisational unit level 3]
[IFRSNineActuals][Retail_unsecured_vintage][Organisational unit level 3]
[IFRSNineActuals][Secured_PD_migrations][Organisational unit level 3]
[IFRSNineActuals][Secured_stage_migrations][Organisational unit level 3]
[IFRSNineActuals][Unsecured_PD_migrations][Organisational unit level 3]
[IFRSNineActuals][Unsecured_stage_migrations][Organisational unit level 3]
[IFRSNineActuals][Wholesale_provisions][Organisational unit level 3]
[IFRSNineActuals][Wholesale_risk_measures][Organisational unit level 3]
[RetailExcludingMortgageCredit][Comments][Organisational unit level 3]
[RetailExcludingMortgageCredit][RWA][Organisational unit level 3]
[RetailExcludingMortgageCredit][Trended_arrears][Organisational unit level 3]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Organisational unit level 3]
[RetailExcludingMortgageCredit][Trended_other][Organisational unit level 3]
[RetailMortgageCredit][Arrears][Organisational unit level 3]
[RetailMortgageCredit][Comments][Organisational unit level 3]
[RetailMortgageCredit][LTV_arrears_MIA][Organisational unit level 3]
[RetailMortgageCredit][LTV_arrears_PIA][Organisational unit level 3]
[RetailMortgageCredit][LTV_repayment][Organisational unit level 3]
[RetailMortgageCredit][Repossessions][Organisational unit level 3]
[RetailMortgageCredit][RWA][Organisational unit level 3]
[RetailMortgageCredit][Sales][Organisational unit level 3]
[RetailMortgageCredit][Trended_arrears][Organisational unit level 3]
[RetailMortgageCredit][Trended_collective_provisions][Organisational unit level 3]
[RetailMortgageCredit][Trended_other][Organisational unit level 3]
[RetailMortgageCredit][Vintage_analysis][Organisational unit level 3]
[StructuredFinance][Covered_bonds][Organisational unit level 3]
[StructuredFinance][Securitisation_positions][Organisational unit level 3]
Othercurrencyhedgeratio The change in the value of any currency derivatives expressed as a percentage of the change in the value of other currencies assets resulting from an appreciation or depreciation of other currencies relative to the currency of the liabilities. [Pensioncurrencyhedge][Currency_hedge][Other currency hedge ratio]
Otherfairvalueditemsaccountingdesignation The accounting method under which the value of the item is recorded in the firm's financial statements [Other_Fair_Valued_Items_Projections][OFVI_projections][Other fair valued items accounting designation]
Otherfairvalueditemslevel1 The high level classification of securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Other fair valued items level 1]
Otherfairvalueditemslevel2 The detailed-level classification of securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Other fair valued items level 2]
Otherincomeproducttype A classification of products used for projections of 'other income'. [BalanceSheetProjections][Other_income_details][Other income product type]
Otheroffsettingitems Any AVA benefit from offsetting items not reported elsewhere, e.g. netting between portfolios. [Stressed_PVA_Projections][Totals][Other offsetting items]
Pagenumber The page number in the file in which the basis of preparation query is answered. [Basisofpreparationindex][Actuals_index][Page number]
[Basisofpreparationindex][Projections_index][Page number]
PaymentType A classification of retail mortgage repayment methods. The repayment method reported must be the current method and must exclude any temporary conversions, e.g. as a result of forbearance. [RetailMortgageCredit][LTV_repayment][Payment type]
PD Firm's own estimation of the Probability of Default (PD) of a counterparty or an exposure-weighted average of a counterparty bucket, before (for actual data) or after (for scenario results data) the stress is applied. Input as decimal between 0 and 1 [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][PD]
PDregulatory 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 and should be reported consistently with COREP. 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). [CapitalAndOtherProjections][Risk_measures_by_portfolio][PD regulatory]
[CapitalAndOtherProjections][Structured_finance][PD regulatory]
[CorporateSovereignFinInstCreditRisk][Large_exposures][PD regulatory]
[CorporateSovereignFinInstCreditRisk][Risk_measures][PD regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE][PD regulatory]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][PD regulatory]
[IFRSNineActuals][Retail_secured_RWA][PD regulatory]
[IFRSNineActuals][Retail_unsecured_RWA][PD regulatory]
[IFRSNineActuals][Wholesale_risk_measures][PD regulatory]
[RetailExcludingMortgageCredit][RWA][PD regulatory]
[RetailMortgageCredit][RWA][PD regulatory]
[StructuredFinance][Securitisation_positions][PD regulatory]
[UKCorporateExposures][UK_corporate_exposures][PD regulatory]
PeakPFE Maximum of the Potential Future Exposure (PFE) at a specified future date over a given time horizon and confidence interval in line with the firm’s internal risk management measure. [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Peak PFE]
PeakPFEtenorpoint The time point (in years) at which the Peak PFE is observed. [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Peak PFE tenor point]
PensionablePayroll The value of pensionable payroll in a specified year. This should relate to the pensionable payroll of members of the scheme in question, excluding defined contribution members. [PensionsRisk][Pensions_cash_flow][Pensionable payroll]
Pensionassetclass A classification of assets held by a pension scheme. [CapitalAndOtherProjections][Pensions_assets][Pension asset class]
[Pensioncurrencyhedge][Pension_asset_currency_split][Pension asset class]
Pensionassetvalue The value of specified assets held by a pension scheme. [CapitalAndOtherProjections][Pensions_assets][Pension asset value]
Pensionliabilityclass A classification scheme for assets and liabilities in a pension scheme. [PensionsRisk][Pensions_funding][Pension funding basis class]
Pensionliabilityclassvaluefundingbasis A monetary amount associated with the asset or liability class. For a specified liability class, this is the value calculated using the trustees’ funding basis, which is used to decide upon the employer contributions – most importantly the recovery plan. Please exclude any defined contribution liabilities or liabilities already backed by matching annuities from both the asset and liability classes. The sign convention is that both assets and liabilities are recorded as positive numbers, so that 'Assets' less the sum of 'Active', 'Deferred' and 'Pensioner' equals the surplus in the scheme on the trustees' funding basis. [PensionsRisk][Pensions_funding][Pension funding basis class value]
Pensionrorassetclass A classification of assets held by a pension scheme. [CapitalAndOtherProjections][Pensions_rate_of_return][Pension asset class]
Pensionsbalancesheetheader A header relating to the balance sheet of a defined benefit pension scheme. [CapitalAndOtherProjections][Pensions_balance_sheet][Pensions balance sheet header]
PensionScheme The name of a defined benefit pension scheme. [CapitalAndOtherProjections][Pensions_assets][Pension scheme]
[CapitalAndOtherProjections][Pensions_assets_recon][Pension scheme]
[CapitalAndOtherProjections][Pensions_balance_sheet][Pension scheme]
[CapitalAndOtherProjections][Pensions_liabilities_recon][Pension scheme]
[CapitalAndOtherProjections][Pensions_parameters][Pension scheme]
[CapitalAndOtherProjections][Pensions_rate_of_return][Pension scheme]
[CapitalAndOtherProjections][Pensions_reg_balance_sheet][Pension scheme]
[Pensioncurrencyhedge][Currency_hedge][Pension scheme]
[Pensioncurrencyhedge][Pension_asset_currency_split][Pension scheme]
[PensionsRisk][Comments][Pension scheme]
[PensionsRisk][Pensions_cash_flow][Pension scheme]
[PensionsRisk][Pensions_funding][Pension scheme]
[PensionsRisk][Pensions_parameters][Pension scheme]
PercentageofassetsinEUR The percentage of assets in a pension scheme denominated in EUR. [Pensioncurrencyhedge][Pension_asset_currency_split][Percentage of assets denominated in EUR]
PercentageofassetsinGBP The percentage of assets in a pension scheme denominated in GBP. [Pensioncurrencyhedge][Pension_asset_currency_split][Percentage of assets denominated in GBP]
Percentageofassetsinothercurrencies The percentage of assets in a pension scheme denominated in other currencies. [Pensioncurrencyhedge][Pension_asset_currency_split][Percentage of assets denominated in other currencies]
PercentageofassetsinUSD The percentage of assets in a pension scheme denominated in USD. [Pensioncurrencyhedge][Pension_asset_currency_split][Percentage of assets denominated in USD]
Percentageofloanwhichishedged The extent to which CRE borrowers have hedged their loans against interest rate rises. Please specify the percentage of the loan which is hedged (eg. 100% if fixed rate loan) [CorporateSovereignFinInstCreditRisk][UK_CRE][Percentage of loan which is hedged]
Performancebasedcompitem Staff expenses awards based on performance item. [OtherCapitalProjections][Performance_based_compensation][Performance based compensation item]
PILLAR2REQUIREMENTassetoutinArticle105CRD Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code380Column Code010 [Liquidity][Liquidity_ratios][PILLAR 2 REQUIREMENT as set out in Article 105 CRD]
Pipeline A term that often is used to refer to the amount of business that a company expects to receive in the coming months or year. In this context, “pipeline” is used to classify current and past snapshots of the security and syndicated loan business. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Pipeline]
PointintimePDband A banding for the Probability of Default at the reporting date associated with the firm's internal point-in-time behavioural score that is generated for existing customers and is used for customer management purposes; which may or may not be the IRB PD used in Basel models. [IFRSNineActuals][Secured_PD_migrations][Point in time PD band]
[IFRSNineActuals][Unsecured_PD_migrations][Point in time PD band]
PointintimePDbandatT1 A banding for the Probability of Default at one quarter prior to the reporting date associated with the firm's internal point-in-time behavioural score that is generated for existing customers and is used for customer management purposes; which may or may not be the IRB PD used in Basel models. For the first reporting period, please provide the historical data you have available (subject to internal parallel runs of IAS 39 and IFRS 9 impairment calculations). If this is unavailable, then please provide the information for the current period “T” only, and continue to build a “history” in future collections. Please use “unknown” in this case”. [IFRSNineActuals][Secured_PD_migrations][Point in time PD band at T-1]
[IFRSNineActuals][Unsecured_PD_migrations][Point in time PD band at T-1]
PortfolioYield For the portfolio back book this will represent the running yield of fix asset / swap in each Projection period. This will change for each Projection period as back book deals mature. For front book deals this will represent the yield of hedges written in the relevant Projection period. [StructuralHedge][Net_interest_income][Portfolio yield]
Preorpostmanagementaction The scenario should be either pre or post. [Liquidity][Liquidity_ratios][Pre or post management action]
Presecuritisationtotalreferenceportfolioexposure The underlying reference portfolio current exposure as if securitisation had not occurred. [StructuredFinance][Significant_risk_transfer][Pre securitisation total reference portfolio exposure]
Presecuritisationtotalreferenceportfolioriskweightedexposure The underlying reference portfolio current risk-weighted exposure (RWA) as if securitisation had not occurred. [StructuredFinance][Significant_risk_transfer][Pre securitisation total reference portfolio risk weighted exposure]
PreviousarrearsbandbyMIA Previous banding of exposures by their months in arrears. This could be required for both the current period e.g. June 2012 or for a previous period e.g. May 2012. [RetailExcludingMortgageCredit][Trended_arrears][Previous arrears band by MIA]
[RetailMortgageCredit][Trended_arrears][Previous arrears band by MIA]
Productname Firm's internal name for the product. [Stressed_PVA_Projections][Concentrated_position][Product name]
[Stressed_PVA_Projections][Model_risk][Product name]
ProductType A grouping of financial products which are available to bank customers and are regarded as having common attributes, characteristics, qualities or traits. [CapitalAndOtherProjections][Comments][Product type]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Product type]
[Intragrouppositions][Intra_group_assets][Product type]
[Intragrouppositions][Intra_group_liabilities][Product type]
ProductTypesforMarketVolumesUKOnlyProjection A classification of products in the context of the Market_volumes_UK_only tab on the Balance Sheet template. [BalanceSheetProjections][Market_volumes_UK_only][Market volume product type]
ProfitorlossandAOCIreconciliationlevel1 A high-level heading in the breakdown of profit or loss and accumulated other comprehensive income. [CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Profit or loss and AOCI reconciliation level 1]
ProfitorlossandAOCIreconciliationlevel2 A lower-level heading in the breakdown of profit or loss and accumulated other comprehensive income. [CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Profit or loss and AOCI reconciliation level 2]
Profitorlossbusinesslineitemlevel1 Profit or loss header item for a business line. [BalanceSheetProjections][Profit_or_loss_business_line][Profit or loss business line item level 1]
Profitorlossbusinesslineitemlevel2 Profit or loss detail item for a business line. [BalanceSheetProjections][Profit_or_loss_business_line][Profit or loss business line item level 2]
Profitorlossimpact Describes the profit or loss impact of misconduct by a firm. For the purpose of this template the net P&L charge for misconduct costs should be shown as a positive number. Any release of previous misconduct provisions should be reported as a negative number. [MaterialMisconductCostsActuals][Misconduct_historical][Profit or loss impact]
[MaterialMisconductCostsProjections][Misconduct_projections][Profit or loss impact]
Profitorlossitemlevel1 The Profit or loss item header as per FINREP. [BalanceSheetProjections][Profit_or_loss_group_only][Profit or loss item level 1]
[Feesandcostsconstantcurrency][Profit_or_loss_group_only][Profit or loss item level 1]
Profitorlossitemlevel1cardsotherincome The Profit or loss item header as per FINREP in cards other income context. [BalanceSheetProjections][Cards_other_income][Profit or loss item level 1 cards other income]
Profitorlossitemlevel1otherexpense The Profit or loss item header as per FINREP in other expense details context. [BalanceSheetProjections][Other_expense_details][Profit or loss item level 1 other expense]
[Feesandcostsconstantcurrency][Other_expense_details][Profit or loss item level 1 other expense]
Profitorlossitemlevel1otherincome The Profit or loss item header as per FINREP in other income details context. [BalanceSheetProjections][Other_income_details][Profit or loss item level 1 other income]
[Feesandcostsconstantcurrency][Other_income_details][Profit or loss item level 1 other income]
Profitorlossitemlevel2 The profit or loss detail for each header item as per FINREP. [BalanceSheetProjections][Profit_or_loss_group_only][Profit or loss item level 2]
[Feesandcostsconstantcurrency][Profit_or_loss_group_only][Profit or loss item level 2]
Profitorlossitemlevel2cardsotherincome Detail (non FINREP) to profit or loss level 1 (FINREP) items related to income - cards. [BalanceSheetProjections][Cards_other_income][Profit or loss item level 2 cards other income]
Profitorlossitemlevel2otherexpense Detail (non FINREP) to profit or loss level 1 (FINREP) items related to expenses. [BalanceSheetProjections][Other_expense_details][Profit or loss item level 2 other expense]
[Feesandcostsconstantcurrency][Other_expense_details][Profit or loss item level 2 other expense]
Profitorlossitemlevel2otherincome Detail (non FINREP) to profit or loss level 1 (FINREP) items related to income - other. [BalanceSheetProjections][Other_income_details][Profit or loss item level 2 other income]
[Feesandcostsconstantcurrency][Other_income_details][Profit or loss item level 2 other income]
Projectionperiod The period to which the associated projections relate. [BalanceSheetProjections][ALM_balance_sheet][Projection period]
[BalanceSheetProjections][ALM_interest_rates][Projection period]
[BalanceSheetProjections][ALM_metrics][Projection period]
[BalanceSheetProjections][Cards_other_income][Projection period]
[BalanceSheetProjections][Comments][Projection period]
[BalanceSheetProjections][Full_time_employees][Projection period]
[BalanceSheetProjections][Market_volumes_UK_only][Projection period]
[BalanceSheetProjections][Other_expense_details][Projection period]
[BalanceSheetProjections][Other_income_details][Projection period]
[BalanceSheetProjections][Profit_or_loss_business_line][Projection period]
[BalanceSheetProjections][Profit_or_loss_group_only][Projection period]
[CapitalAndOtherProjections][Capital_requirements][Projection period]
[CapitalAndOtherProjections][Capital_resources][Projection period]
[CapitalAndOtherProjections][Capital_results_summary][Projection period]
[CapitalAndOtherProjections][Comments][Projection period]
[CapitalAndOtherProjections][EL-P_reconciliation][Projection period]
[CapitalAndOtherProjections][Impairments_and_other_losses][Projection period]
[CapitalAndOtherProjections][Leverage][Projection period]
[CapitalAndOtherProjections][Maximum_distributable_amount][Projection period]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Projection period]
[CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Projection period]
[CapitalAndOtherProjections][Pensions_assets][Projection period]
[CapitalAndOtherProjections][Pensions_assets_recon][Projection period]
[CapitalAndOtherProjections][Pensions_balance_sheet][Projection period]
[CapitalAndOtherProjections][Pensions_liabilities_recon][Projection period]
[CapitalAndOtherProjections][Pensions_parameters][Projection period]
[CapitalAndOtherProjections][Pensions_rate_of_return][Projection period]
[CapitalAndOtherProjections][Pensions_reg_balance_sheet][Projection period]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Projection period]
[CapitalAndOtherProjections][Stress_case_management_actions][Projection period]
[CapitalAndOtherProjections][Structured_finance][Projection period]
[Capitaltransitionals][Capital_requirements][Projection period]
[Capitaltransitionals][Capital_resources][Projection period]
[Capitaltransitionals][EL-P_reconciliation][Projection period]
[Capitaltransitionals][Leverage][Projection period]
[CounterpartycreditriskRWA][CCR_RWAs][Projection period]
[Feesandcostsconstantcurrency][Other_expense_details][Projection period]
[Feesandcostsconstantcurrency][Other_income_details][Projection period]
[Feesandcostsconstantcurrency][Profit_or_loss_group_only][Projection period]
[FVORWA][RWA][Projection period]
[IFRSNineProjections][IFRS9_impact][Projection period]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][Projection period]
[Intragrouppositions][Intra_group_assets][Projection period]
[Intragrouppositions][Intra_group_liabilities][Projection period]
[MarketriskandCVARWA][Traded_risk_capital_requirement][Projection period]
[MaterialMisconductCostsProjections][Misconduct_projections][Projection period]
[Modeladjustments][Model_adjustments][Projection period]
[MRELresources][MREL_resources][Projection period]
[Other_Fair_Valued_Items_Projections][OFVI_projections][Projection period]
[OtherCapitalProjections][Capital_evolution][Projection period]
[OtherCapitalProjections][FX_capital_resources][Projection period]
[OtherCapitalProjections][FX_leverage][Projection period]
[OtherCapitalProjections][FX_RWA][Projection period]
[OtherCapitalProjections][Impact_of_issuance_in_stress][Projection period]
[OtherCapitalProjections][Leverage_exposure][Projection period]
[OtherCapitalProjections][Performance_based_compensation][Projection period]
[RetailProjections][Balance_flow][Projection period]
[Stressed_PVA_Projections][Closeout_cost_uncertainty][Projection period]
[Stressed_PVA_Projections][Concentrated_position][Projection period]
[Stressed_PVA_Projections][Investing_and_funding][Projection period]
[Stressed_PVA_Projections][Market_price_uncertainty][Projection period]
[Stressed_PVA_Projections][Model_risk][Projection period]
[Stressed_PVA_Projections][Totals][Projection period]
[Stressed_PVA_Projections][Unearned_credit_spreads][Projection period]
[StructuralHedge][Net_interest_income][Projection period]
[UK_Capital_Impact_Projections][UKCI_balance_sheet][Projection period]
[UK_Capital_Impact_Projections][UKCI_leverage][Projection period]
[UK_Capital_Impact_Projections][UKCI_profit_or_loss][Projection period]
[UK_Capital_Impact_Projections][UKCI_RWA][Projection period]
[WholesaleIssuanceProjections][Wholesale_issuance][Projection period]
ProjectionperiodIFRS9transitionals The reporting periods for the base and stress test projections within the IFRS9 transitionals template. [IFRSNinetransitionals][Assumptions][Projection period]
[IFRSNinetransitionals][Transitional_impact][Projection period]
ProjectionperiodstressALM The period to which the associated projections relate. [Liquidity][Liquidity_ratios][Projection period]
Propertyquality The overall quality of a commercial real estate property based on its location and the quality of the building. [CorporateSovereignFinInstCreditRisk][UK_CRE][Property quality]
Propertysector A defined grouping of properties by sector, typically of similar characteristics. [CorporateSovereignFinInstCreditRisk][UK_CRE][Property sector]
ProvisiononBalancesinPossession The total provision for properties in possession. [RetailMortgageCredit][Trended_other][Provision on balances in possession]
ProvisiononBalancesinRecovery The total provision for accounts in recoveries. [RetailExcludingMortgageCredit][Trended_other][Provision on balances in recovery]
Provisions This should be the provisions recorded under IFRS9, tables FINREP 4.3.1, 4.4.1, Accumulated impairment Annex V.Part 2.70(b), 71. Where this item is reported under Trended_collective_provisions tabs in templates 013 Retail Mortgage Credit Risk and 014 Retail Excluding Mortgage Credit Risk please only report collective provisions, individual provisions are reported in worksheet Trended_other. [CapitalAndOtherProjections][Risk_measures_by_portfolio][Provisions balance]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Provisions]
[CorporateSovereignFinInstCreditRisk][Provisions][Provisions]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Provisions]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Provisions]
[IFRSNineActuals][Retail_secured_RWA][Provisions]
[IFRSNineActuals][Retail_secured_stages][Provisions]
[IFRSNineActuals][Retail_secured_vintage][Provisions]
[IFRSNineActuals][Retail_unsecured_RWA][Provisions]
[IFRSNineActuals][Retail_unsecured_stages][Provisions]
[IFRSNineActuals][Retail_unsecured_vintage][Provisions]
[IFRSNineActuals][Wholesale_provisions][Provisions]
[IFRSNineProjections][IFRS9_impact][Provisions balance]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][Provisions balance]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Provisions]
[RetailMortgageCredit][Trended_collective_provisions][Provisions]
[UKCorporateExposures][UK_corporate_exposures][Provisions]
ProvisionsBalance The sum of ‘collective provisions’ (as defined in the STDF dictionary) and ‘individual provisions’ (as defined in the STDF dictionary) where ‘individual provisions’ is the sum of ‘Individual provisions fraud’ and ‘Individual provisions non fraud’ on the retail template. [Intragrouppositions][Intra_group_assets][Provisions balance]
PVAfundingcurrency The currency denomination of the portfolio. [Stressed_PVA_Projections][Investing_and_funding][Funding currency]
PVAportfolio The asset class and type of product. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Portfolio]
[Stressed_PVA_Projections][Concentrated_position][Portfolio]
[Stressed_PVA_Projections][Market_price_uncertainty][Portfolio]
[Stressed_PVA_Projections][Model_risk][Portfolio]
[Stressed_PVA_Projections][Totals][Portfolio]
Qualifiedname The unique name, assigned to a STDF data item or external data item. [Reconciliations][Reconciliations][Qualified name]
Quotedmargin The fixed amount above or below the bond’s reference rate ignoring any caps or floors used to calculate the coupon payments, for a fixed rate bond the equivalent reference rate would be zero at all times. [StructuredFinance][Securitisation_positions][Quoted margin]
Rateofreturn Total return over the year (i.e. increase in price and dividends, coupons, etc) as a percentage of the value at the start of the year. [CapitalAndOtherProjections][Pensions_rate_of_return][Rate of return]
Reconciliationreference Reference items for completion of the tab [RevenuesandCostsIBD][Reconciliations][Reconciliation reference]
Redemptions All redemptions on loans or debt instruments during the year. [WholesaleIssuanceProjections][Wholesale_issuance][Redemptions]
Referencerate A sub-category of Reference rate type which specifies the reference rate used to price balance sheet and off-balance sheet items. [AssetLiabilityManagement][Non_traded_market_risk][ALM reference rate]
ReferenceRateType A category of reference rate used to price balance sheet and off-balance sheet items. [AssetLiabilityManagement][Non_traded_market_risk][Reference rate type]
[BalanceSheetProjections][ALM_balance_sheet][Reference rate type]
Regionofsecurityissuers Region of security issuers for each row respectively. [Other_Fair_Valued_Items_Projections][OFVI_projections][Region of security issuers]
RegulatoryBalanceSheetAmount A monetary amount related to a regulatory balance sheet Item. [CapitalAndOtherProjections][Pensions_reg_balance_sheet][Regulatory balance sheet amount]
RegulatoryBalanceSheetItem A classification of items on the regulatory balance sheet. [CapitalAndOtherProjections][Pensions_reg_balance_sheet][Regulatory balance sheet item]
RegulatoryCarryValue The recorded value of the securitisation or covered bond instrument for regulatory purposes. The minimum value is zero, there is no maximum. The regulatory carry value of short positions should be recorded as an absolute number and the 'position type' field and sign of the current notional on the actuals template used to indicate long or short. Values should be gross of any impairment provision (RCV does not reduce as impairments are taken). In the Structured finance templates, for assets under the Financial assets designated at fair value through profit or loss accounting designation, regulatory carry value should be net of market value movements, for assets under the Financial assets at fair value through other comprehensive income accounting designation regulatory carry value should be net of the OCI reserve balance (RCV reduces as market value losses are taken). Simplified Examples:Impact of impairments – for a 10m bond purchased at par and held under the Financial assets at amortised cost accounting designation, which is subsequently impaired by 2m, the RCV should be recorded as approximately 10m.Impact of market value movements – for a 10m bond purchased at par and held under the fair value accounting designation, which subsequently sees a 2m decline in market value, the OCI Reserve is expected to be approximately +2m and the RCV recorded as approximately 8m. [CapitalAndOtherProjections][Structured_finance][Regulatory carry value]
[StructuredFinance][Covered_bonds][Regulatory carry value]
[StructuredFinance][Securitisation_positions][Regulatory carry value]
RelatedfairvalueadjustmentBidoffer Adjustments to fair value related to bid/offer spreads that are already recognised in accounting values. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Related fair value adjustment - Bid offer]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - Bid offer]
RelatedfairvalueadjustmentCVA The amount of credit valuation adjustment (CVA) that is already recognised in accounting values. [Stressed_PVA_Projections][Totals][Related fair value adjustment - CVA]
[Stressed_PVA_Projections][Unearned_credit_spreads][Related fair value adjustment - CVA]
RelatedfairvalueadjustmentFFVA The amount of funding fair value adjustment (FFVA) that is already recognised in accounting values. [Stressed_PVA_Projections][Investing_and_funding][Related fair value adjustment - FFVA]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - FFVA]
RelatedfairvalueadjustmentLiquidity Adjustments to fair value related to liquidity considerations that are already recognised in accounting values. [Stressed_PVA_Projections][Concentrated_position][Related fair value adjustment - Liquidity]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - Liquidity]
RelatedfairvalueadjustmentModelrisk Adjustments to fair value related to model risk that are already recognised in accounting values. [Stressed_PVA_Projections][Model_risk][Related fair value adjustment - Model risk]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - Model risk]
RelatedfairvalueadjustmentOther The total of any other fair value adjustments that are already recognised in accounting values and not reported elsewhere. [Stressed_PVA_Projections][Closeout_cost_uncertainty][Related fair value adjustment - Other]
[Stressed_PVA_Projections][Concentrated_position][Related fair value adjustment - Other]
[Stressed_PVA_Projections][Investing_and_funding][Related fair value adjustment - Other]
[Stressed_PVA_Projections][Market_price_uncertainty][Related fair value adjustment - Other]
[Stressed_PVA_Projections][Model_risk][Related fair value adjustment - Other]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - Other]
[Stressed_PVA_Projections][Unearned_credit_spreads][Related fair value adjustment - Other]
RelatedfairvalueadjustmentOverhedge Where the valuation model is deliberately set up to model a set of terms that differ from the legal terms of a position (e.g. for the purposes of achieving a more manageable risk profile) the aggregate effect such differences on the valuation of the relevant sub-portfolio shall be reported in this column. Examples include barrier shifts and representation of a digital option as a put - call spread.. [Stressed_PVA_Projections][Model_risk][Related fair value adjustment - Overhedge]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - Overhedge]
RelatedfairvalueadjustmentPriceuncertainty Adjustments to fair value related to market price uncertainty that are already recognised in accounting values. [Stressed_PVA_Projections][Market_price_uncertainty][Related fair value adjustment - Price uncertainty]
[Stressed_PVA_Projections][Totals][Related fair value adjustment - Price uncertainty]
Relevantexposuremeasure The most relevant measure of risk when assessing concentration. . [Stressed_PVA_Projections][Concentrated_position][Relevant exposure measure]
Repaymentorwithdrawal Projected repayments or withdrawals within a period. [BalanceSheetProjections][Market_volumes_UK_only][Repayment or withdrawal]
Reportedamount The amount reported via the qualified name in the STDF data item reference or external report data item reference. [Reconciliations][Reconciliations][Reported amount]
Repossessionperiodquarter The historical period (quarter) during which the repossession of a property took place. [RetailMortgageCredit][Repossessions][Repossession period quarter]
Repossessionperiodyear The historical period (year) during which the repossession of a property took place. [RetailMortgageCredit][Repossessions][Repossession period year]
RepricingPeriod It is the period of time from reporting date until next re-pricing date reflecting any behavioural characteristics. The re-pricing period for items with no contractual maturity should reflect estimated cashflows. From an ALM perspective, for capital which has neither a maturity profile nor cashflow, the board approved investment appetites should be used. [AssetLiabilityManagement][Non_traded_market_risk][Repricing period]
ResiduallifetimePDband A banding for the Lifetime Probability of Default at the reporting date of the loan associated with the firm's internal point-in-time behavioural score that is generated for existing customers and is used for customer management purposes; which may or may not be the IRB PD used in Basel models. Please provide the balance weighted average. [IFRSNineActuals][Retail_secured_RWA][Residual lifetime PD band]
[IFRSNineActuals][Wholesale_risk_measures][Residual lifetime PD band]
Residualmaturity The residual maturity of the instrument, these should not be reported in this template if the residual maturity from the reporting date is more than one year. [Shorttermfunding][Funding][Residual maturity]
Restructuredaccountsbalanceinarrears The portion of drawn balance that is in arrears, possession, or recoveries, for all restructured accounts. Restructured accounts include all forms of restructuring used in delinquency or to avoid delinquency, e.g. reduced/zero payment concessions, temporary transfer to interest-only, arrears capitalisations, etc. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts balance in arrears]
[RetailMortgageCredit][Trended_other][Restructured accounts balance in arrears]
Restructuredaccountsbalanceuptodate The portion of drawn balance that is not in arrears, possession, or recoveries, for all restructured accounts. Restructured accounts include all forms of restructuring used in delinquency or to avoid delinquency, e.g. reduced/zero payment concessions, temporary transfer to interest-only, arrears capitalisations, etc. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts balance up to date]
[RetailMortgageCredit][Trended_other][Restructured accounts balance up to date]
Restructuredaccountsprovisiononbalancesinarrears Provisions held against balances in arrears for restructured accounts. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts provision on balances in arrears]
[RetailMortgageCredit][Trended_other][Restructured accounts provision on balances in arrears]
Restructuredaccountsprovisiononbalancesuptodate Provisions held against balances up to date for restructured accounts. [RetailExcludingMortgageCredit][Trended_other][Restructured accounts provision on balances up to date]
[RetailMortgageCredit][Trended_other][Restructured accounts provision on balances up to date]
Retailmortgageadditionalsegmentation An additional structural characteristic possessed by retail mortgage products. [IFRSNineActuals][Retail_secured_stages][Retail mortgage additional segmentation]
[RetailMortgageCredit][LTV_arrears_MIA][Retail mortgage additional segmentation]
[RetailMortgageCredit][LTV_arrears_PIA][Retail mortgage additional segmentation]
[RetailMortgageCredit][LTV_repayment][Retail mortgage additional segmentation]
Retailsecuredassetclass A defined grouping of retail secured assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [IFRSNineActuals][Retail_secured_RWA][Retail secured asset class]
[IFRSNineActuals][Retail_secured_stages][Retail secured asset class]
[IFRSNineActuals][Retail_secured_vintage][Retail secured asset class]
[IFRSNineActuals][Secured_PD_migrations][Retail secured asset class]
[IFRSNineActuals][Secured_stage_migrations][Retail secured asset class]
[RetailMortgageCredit][Arrears][Retail secured asset class]
[RetailMortgageCredit][Comments][Retail secured asset class]
[RetailMortgageCredit][LTV_arrears_MIA][Retail secured asset class]
[RetailMortgageCredit][LTV_arrears_PIA][Retail secured asset class]
[RetailMortgageCredit][LTV_repayment][Retail secured asset class]
[RetailMortgageCredit][Repossessions][Retail secured asset class]
[RetailMortgageCredit][RWA][Retail secured asset class]
[RetailMortgageCredit][Sales][Retail secured asset class]
[RetailMortgageCredit][Trended_arrears][Retail secured asset class]
[RetailMortgageCredit][Trended_collective_provisions][Retail secured asset class]
[RetailMortgageCredit][Trended_other][Retail secured asset class]
[RetailMortgageCredit][Vintage_analysis][Retail secured asset class]
RetailsecuredindexedLTVband A band representing a range of indexed loan to values for retail mortgages. [RetailMortgageCredit][LTV_arrears_MIA][Retail secured indexed LTV band]
[RetailMortgageCredit][LTV_arrears_PIA][Retail secured indexed LTV band]
[RetailMortgageCredit][LTV_repayment][Retail secured indexed LTV band]
[RetailProjections][Balance_flow][Retail secured indexed LTV band]
Retailsecuredproducttype A classification scheme for retail mortgage products. Products falling within each product type will have similar risk characteristics. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Retail secured product type]
[IFRSNineActuals][Retail_secured_RWA][Retail secured product type]
[IFRSNineActuals][Retail_secured_stages][Retail secured product type]
[IFRSNineActuals][Retail_secured_vintage][Retail secured product type]
[IFRSNineActuals][Secured_PD_migrations][Retail secured product type]
[IFRSNineActuals][Secured_stage_migrations][Retail secured product type]
[RetailMortgageCredit][Arrears][Retail secured product type]
[RetailMortgageCredit][Comments][Retail secured product type]
[RetailMortgageCredit][LTV_arrears_MIA][Retail secured product type]
[RetailMortgageCredit][LTV_arrears_PIA][Retail secured product type]
[RetailMortgageCredit][LTV_repayment][Retail secured product type]
[RetailMortgageCredit][Repossessions][Retail secured product type]
[RetailMortgageCredit][RWA][Retail secured product type]
[RetailMortgageCredit][Sales][Retail secured product type]
[RetailMortgageCredit][Trended_arrears][Retail secured product type]
[RetailMortgageCredit][Trended_collective_provisions][Retail secured product type]
[RetailMortgageCredit][Trended_other][Retail secured product type]
[RetailMortgageCredit][Vintage_analysis][Retail secured product type]
[RetailProjections][Arrears_flow][Retail secured product type]
[RetailProjections][Balance_flow][Retail secured product type]
Retailunsecuredassetclass A defined grouping of retail unsecured assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [IFRSNineActuals][Retail_unsecured_RWA][Retail unsecured asset class]
[IFRSNineActuals][Retail_unsecured_stages][Retail unsecured asset class]
[IFRSNineActuals][Retail_unsecured_vintage][Retail unsecured asset class]
[IFRSNineActuals][Unsecured_PD_migrations][Retail unsecured asset class]
[IFRSNineActuals][Unsecured_stage_migrations][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Comments][Retail unsecured asset class]
[RetailExcludingMortgageCredit][RWA][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Trended_arrears][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Retail unsecured asset class]
[RetailExcludingMortgageCredit][Trended_other][Retail unsecured asset class]
Retailunsecuredproducttype A classification scheme for unsecured retail products. Products falling within each product type will have similar risk characteristics. [IFRSNineActuals][Retail_unsecured_RWA][Retail unsecured product type]
[IFRSNineActuals][Retail_unsecured_stages][Retail unsecured product type]
[IFRSNineActuals][Retail_unsecured_vintage][Retail unsecured product type]
[IFRSNineActuals][Unsecured_PD_migrations][Retail unsecured product type]
[IFRSNineActuals][Unsecured_stage_migrations][Retail unsecured product type]
[RetailExcludingMortgageCredit][Comments][Retail unsecured product type]
[RetailExcludingMortgageCredit][RWA][Retail unsecured product type]
[RetailExcludingMortgageCredit][Trended_arrears][Retail unsecured product type]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Retail unsecured product type]
[RetailExcludingMortgageCredit][Trended_other][Retail unsecured product type]
Revaluationmethod A methodology used to revalue positions. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Revaluation method]
Revenuesandcostslevel1 A high-level category for capturing information on FINREP income statement items. [RevenuesandCostsIBD][Core][Revenues and costs level 1]
[RevenuesandCostsIBD][Core_subset][Revenues and costs level 1]
[RevenuesandCostsIBD][Core_subset_granular][Revenues and costs level 1]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Revenues and costs level 1]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Revenues and costs level 1]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Revenues and costs level 1]
[RevenuesandCostsIBD][Core_subset_granular_UK][Revenues and costs level 1]
[RevenuesandCostsIBD][Non_core][Revenues and costs level 1]
Revenuesandcostslevel2 A mid-level category for capturing information on FINREP income statement items. [RevenuesandCostsIBD][Core][Revenues and costs level 2]
[RevenuesandCostsIBD][Core_subset][Revenues and costs level 2]
[RevenuesandCostsIBD][Core_subset_granular][Revenues and costs level 2]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Revenues and costs level 2]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Revenues and costs level 2]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Revenues and costs level 2]
[RevenuesandCostsIBD][Core_subset_granular_UK][Revenues and costs level 2]
[RevenuesandCostsIBD][Non_core][Revenues and costs level 2]
Revenuesandcostslevel3 A low-level category for capturing information on income statement items. [RevenuesandCostsIBD][Core][Revenues and costs level 3]
[RevenuesandCostsIBD][Core_subset][Revenues and costs level 3]
[RevenuesandCostsIBD][Core_subset_granular][Revenues and costs level 3]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Revenues and costs level 3]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Revenues and costs level 3]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Revenues and costs level 3]
[RevenuesandCostsIBD][Core_subset_granular_UK][Revenues and costs level 3]
[RevenuesandCostsIBD][Non_core][Revenues and costs level 3]
Riskfactor Description of risk factor used in Stress (including BoE risk factors) [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Risk factor]
[Stressed_XVA_Projections][Marginal_drivers][Risk factor]
[Stressed_XVA_Projections][Net_drivers][Risk factor]
Riskfactorcurrency Currency of the risk factor [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Risk factor currency]
[Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Risk factor currency]
RiskfactorreferenceorFXpair This represents the underlying reference for the risk sensitivity identified (e.g. "Gold" used in measuring the "Commodities Delta" sensitivity) or "FX Pair" . Please refer to the "Market Risk" section in the "Stress Testing Data Framework Dictionary" for the definition of the following reference types: "Equity Reference", "Rates Reference", "Credit Reference", and " Commodity Reference". For FX, please use the definition of "FX Pair" as defined in the STDF Dictionary. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Risk factor reference or FX pair]
Riskfactortenor Tenor of risk factor if relevant [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Risk factor tenor]
Riskmetric An abstract concept in financial risk management that is quantified by a “Sensitivity Value (gross of collateral”). A risk metric is generally characterised by a high-level risk factor (e.g. Rates, FX, Equities) combined with a “Greek” (e.g. delta, vega) to produce a metric such as IR Delta or FX Vega. In the context of the counterparty credit risk template, it represents a metric of risk used to measure the change in market-to-market value of trades for a small move in a risk factor (such as EQ Delta—a small change in equity prices). [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Risk metric]
RiskparametermostrelevanttomodelriskAVA Risk factor that most suitably represents the size of the model risk for the model or product. [Stressed_PVA_Projections][Model_risk][Risk/parameter most relevant to model risk AVA]
Risktype A classification of risk used within the stress test data collection. [CapitalAndOtherProjections][Comments][Risk type]
[CapitalAndOtherProjections][EL-P_reconciliation][Risk type]
[Capitaltransitionals][EL-P_reconciliation][Risk type]
Riskweightedexposureamount A risk weighted exposure amount for counterparty credit risk exposure and CCP default fund calculation. Note that CCP default fund risk weighted exposure amounts should be 12.5 times (x) the own funds requirements for CCP default charge defined in CRR Article 307-311. [CounterpartycreditriskRWA][CCR_RWAs][Risk weighted exposure amount]
RPIinflationfundingbasis The assumed rate of future inflation (measured according to the retail price index (RPI)) used to calculate the values on the 'Pensions_funding' tab. If the trustees use an inflation yield curve approach, please estimate a single representative rate. [PensionsRisk][Pensions_parameters][RPI inflation funding basis]
RuleID The rule ID the comment refers to. [AssetLiabilityManagement][Comments][Rule ID]
[BalanceSheetProjections][Comments][Rule ID]
[CapitalAndOtherProjections][Comments][Rule ID]
[Capitaltransitionals][Comments][Rule ID]
[CorporateSovereignFinInstCreditRisk][Comments][Rule ID]
[Counterparty_Credit_Risk_Losses_Projections][Comments][Rule ID]
[CounterpartycreditriskRWA][Comments][Rule ID]
[Feesandcostsconstantcurrency][Comments][Rule ID]
[FinancialSectorExposures][Comments][Rule ID]
[FVORWA][Comments][Rule ID]
[IFRSNineActuals][Comments][Rule ID]
[IFRSNineProjections][Comments][Rule ID]
[IFRSNinetransitionals][Comments][Rule ID]
[Intragrouppositions][Comments][Rule ID]
[Liquidity][Comments][Rule ID]
[Market_Risk_Stressed_ProfitorLoss_Projections][Comments][Rule ID]
[MarketriskandCVARWA][Comments][Rule ID]
[MaterialMisconductCostsActuals][Comments][Rule ID]
[MaterialMisconductCostsProjections][Comments][Rule ID]
[Modeladjustments][Comments][Rule ID]
[Modelriskmanagement][Comments][Rule ID]
[MRELresources][Comments][Rule ID]
[OperationalRisk][Comments][Rule ID]
[Other_Fair_Valued_Items_Projections][Comments][Rule ID]
[OtherCapitalProjections][Comments][Rule ID]
[Pensioncurrencyhedge][Comments][Rule ID]
[PensionsRisk][Comments][Rule ID]
[RetailExcludingMortgageCredit][Comments][Rule ID]
[RetailMortgageCredit][Comments][Rule ID]
[RetailProjections][Comments][Rule ID]
[RevenuesandCostsIBD][Comments][Rule ID]
[Shorttermfunding][Comments][Rule ID]
[Stressed_PVA_Projections][Comments][Rule ID]
[Stressed_XVA_Projections][Comments][Rule ID]
[StructuralHedge][Comments][Rule ID]
[StructuredFinance][Comments][Rule ID]
[TradeableSecurities][Comments][Rule ID]
[UK_Capital_Impact_Projections][Comments][Rule ID]
[UKCorporateExposures][Comments][Rule ID]
[WholesaleIssuanceProjections][Comments][Rule ID]
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. [CapitalAndOtherProjections][Capital_requirements][RWA]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][RWA]
[CapitalAndOtherProjections][Structured_finance][RWA]
[Capitaltransitionals][Capital_requirements][RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][RWA]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][RWA]
[CorporateSovereignFinInstCreditRisk][Large_exposures][RWA]
[CorporateSovereignFinInstCreditRisk][Risk_measures][RWA]
[CorporateSovereignFinInstCreditRisk][UK_CRE][RWA]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][RWA]
[FVORWA][RWA][RWA]
[IFRSNineActuals][Retail_secured_RWA][RWA]
[IFRSNineActuals][Retail_unsecured_RWA][RWA]
[IFRSNineActuals][Wholesale_risk_measures][RWA]
[Intragrouppositions][Intra_group_assets][RWA]
[MarketriskandCVARWA][Traded_risk_capital_requirement][RWA]
[OtherCapitalProjections][FX_RWA][RWA]
[RetailExcludingMortgageCredit][RWA][RWA]
[RetailMortgageCredit][RWA][RWA]
[StructuredFinance][Covered_bonds][RWA]
[StructuredFinance][Securitisation_positions][RWA]
[UK_Capital_Impact_Projections][UKCI_RWA][RWA]
[UKCorporateExposures][UK_corporate_exposures][RWA]
RWAitem A high level RWA item. [OtherCapitalProjections][FX_RWA][RWA item]
Saleperiodquarter The historical period (quarter) during which the sale of a property took place. [RetailMortgageCredit][Sales][Sale period quarter]
Saleperiodyear The historical period (year) during which the sale of a property took place. [RetailMortgageCredit][Sales][Sale period year]
Scenario Identifies the scenario. [BalanceSheetProjections][ALM_balance_sheet][Scenario]
[BalanceSheetProjections][ALM_interest_rates][Scenario]
[BalanceSheetProjections][ALM_metrics][Scenario]
[BalanceSheetProjections][Cards_other_income][Scenario]
[BalanceSheetProjections][Comments][Scenario]
[BalanceSheetProjections][Full_time_employees][Scenario]
[BalanceSheetProjections][Market_volumes_UK_only][Scenario]
[BalanceSheetProjections][Other_expense_details][Scenario]
[BalanceSheetProjections][Other_income_details][Scenario]
[BalanceSheetProjections][Profit_or_loss_business_line][Scenario]
[BalanceSheetProjections][Profit_or_loss_group_only][Scenario]
[CapitalAndOtherProjections][Capital_requirements][Scenario]
[CapitalAndOtherProjections][Capital_resources][Scenario]
[CapitalAndOtherProjections][Capital_results_summary][Scenario]
[CapitalAndOtherProjections][Comments][Scenario]
[CapitalAndOtherProjections][EL-P_reconciliation][Scenario]
[CapitalAndOtherProjections][Impairments_and_other_losses][Scenario]
[CapitalAndOtherProjections][Leverage][Scenario]
[CapitalAndOtherProjections][Maximum_distributable_amount][Scenario]
[CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Scenario]
[CapitalAndOtherProjections][P&L_and_AOCI_reconciliation][Scenario]
[CapitalAndOtherProjections][Pensions_assets][Scenario]
[CapitalAndOtherProjections][Pensions_assets_recon][Scenario]
[CapitalAndOtherProjections][Pensions_balance_sheet][Scenario]
[CapitalAndOtherProjections][Pensions_liabilities_recon][Scenario]
[CapitalAndOtherProjections][Pensions_parameters][Scenario]
[CapitalAndOtherProjections][Pensions_rate_of_return][Scenario]
[CapitalAndOtherProjections][Pensions_reg_balance_sheet][Scenario]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Scenario]
[CapitalAndOtherProjections][Stress_case_management_actions][Scenario]
[CapitalAndOtherProjections][Structured_finance][Scenario]
[Capitaltransitionals][Capital_requirements][Scenario]
[Capitaltransitionals][Capital_resources][Scenario]
[Capitaltransitionals][EL-P_reconciliation][Scenario]
[Capitaltransitionals][Leverage][Scenario]
[CounterpartycreditriskRWA][CCR_RWAs][Scenario]
[Feesandcostsconstantcurrency][Other_expense_details][Scenario]
[Feesandcostsconstantcurrency][Other_income_details][Scenario]
[Feesandcostsconstantcurrency][Profit_or_loss_group_only][Scenario]
[FVORWA][RWA][Scenario]
[IFRSNineProjections][Risk_measures_by_portfolioIFRS9][Scenario]
[IFRSNinetransitionals][Assumptions][Scenario]
[IFRSNinetransitionals][Transitional_impact][Scenario]
[Intragrouppositions][Intra_group_assets][Scenario]
[Intragrouppositions][Intra_group_liabilities][Scenario]
[Liquidity][Liquidity_ratios][Scenario]
[MarketriskandCVARWA][Traded_risk_capital_requirement][Scenario]
[MaterialMisconductCostsProjections][Misconduct_projections][Scenario]
[MRELresources][MREL_resources][Scenario]
[Other_Fair_Valued_Items_Projections][OFVI_projections][Scenario]
[OtherCapitalProjections][Capital_evolution][Scenario]
[OtherCapitalProjections][FX_capital_resources][Scenario]
[OtherCapitalProjections][FX_leverage][Scenario]
[OtherCapitalProjections][FX_RWA][Scenario]
[OtherCapitalProjections][Impact_of_issuance_in_stress][Scenario]
[OtherCapitalProjections][Leverage_exposure][Scenario]
[OtherCapitalProjections][Performance_based_compensation][Scenario]
[RetailProjections][Arrears_flow][Scenario]
[RetailProjections][Balance_flow][Scenario]
[Stressed_PVA_Projections][Closeout_cost_uncertainty][Scenario]
[Stressed_PVA_Projections][Concentrated_position][Scenario]
[Stressed_PVA_Projections][Investing_and_funding][Scenario]
[Stressed_PVA_Projections][Market_price_uncertainty][Scenario]
[Stressed_PVA_Projections][Model_risk][Scenario]
[Stressed_PVA_Projections][Totals][Scenario]
[Stressed_PVA_Projections][Unearned_credit_spreads][Scenario]
[StructuralHedge][Net_interest_income][Scenario]
[UK_Capital_Impact_Projections][UKCI_balance_sheet][Scenario]
[UK_Capital_Impact_Projections][UKCI_leverage][Scenario]
[UK_Capital_Impact_Projections][UKCI_profit_or_loss][Scenario]
[UK_Capital_Impact_Projections][UKCI_RWA][Scenario]
[WholesaleIssuanceProjections][Wholesale_issuance][Scenario]
Scenariodescription Description of a firm-defined scenario that clearly explains what stress is used to evaluate stress losses for illiquid positions. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Scenario description]
Scenariolossgainexcludinghedging The potential loss or gain (excluding hedging) incurred as the result of the scenario. To be expressed in reporting currency with a negative value where there is a loss and a positive value where there is a gain. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Scenario loss/gain excluding hedging]
Scenariolossgainincludinghedging The potential loss or gain (including hedging) incurred as the result of the scenario. To be expressed in reporting currency with a negative value where there is a loss and a positive value where there is a gain. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Scenario loss/gain including hedging]
Scenariolossorgain The potential loss or gain incurred as the result of the scenario. To be expressed in reporting currency with a negative value where there is a loss and a positive value where there is a gain. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Scenario loss or gain]
[Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Scenario loss or gain]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Scenario loss or gain]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Scenario loss or gain]
Scenariostresslossorgainilliquids The total scenario loss or gain for illiquids [Market_Risk_Stressed_ProfitorLoss_Projections][Totals][Scenario stress loss or gain illiquids]
Scenariostresslossorgainliquids The total scenario loss or gain for liquids [Market_Risk_Stressed_ProfitorLoss_Projections][Totals][Scenario stress loss or gain liquids]
Scenariostresslossorgainstructuralliquids The total scenario loss or gain for structural liquids [Market_Risk_Stressed_ProfitorLoss_Projections][Totals][Scenario stress loss or gain structural liquids]
Scenariostresslossorgaintotal The total scenario loss or gain for all 3 categories; liquids, structural liquids and illiquids [Market_Risk_Stressed_ProfitorLoss_Projections][Totals][Scenario stress loss or gain total]
Securedexposure 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, unless this results in an amount which is larger than that of the Exposure Value (column 110): in this case the minimum of these two amounts has to be taken. On Standardised exposures this corresponds to the amount in template CR SA which results from the sum of columns 120 and 130 (Credit Risk Mitigation techniques affecting the exposure amount). [CorporateSovereignFinInstCreditRisk][Large_exposures][Secured exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Secured exposure]
[IFRSNineActuals][Wholesale_risk_measures][Secured exposure]
[UKCorporateExposures][UK_corporate_exposures][Secured exposure]
Securitisationpositionsproducttype A classification scheme for securitisation products. [StructuredFinance][Securitisation_positions][Securitisation positions product type]
Securitisationpositionssubproducttype A sub-classification of securitisation products. [StructuredFinance][Securitisation_positions][Securitisation positions sub product type]
SecuritisedAssetClass The asset type(s) of the reference portfolio of the transaction. If the reference portfolio contains mixed asset types, this should be declared and any significant concentrations disclosed. [StructuredFinance][Significant_risk_transfer][Securitised asset class]
Security The collateral the loan is backed by, e.g. asset finance. [CapitalAndOtherProjections][Comments][Security]
[CapitalAndOtherProjections][Risk_measures_by_portfolio][Security]
[IFRSNineActuals][Retail_unsecured_RWA][Security]
[IFRSNineActuals][Retail_unsecured_stages][Security]
[IFRSNineActuals][Retail_unsecured_vintage][Security]
[IFRSNineActuals][Unsecured_PD_migrations][Security]
[IFRSNineActuals][Unsecured_stage_migrations][Security]
[RetailExcludingMortgageCredit][Comments][Security]
[RetailExcludingMortgageCredit][RWA][Security]
[RetailExcludingMortgageCredit][Trended_arrears][Security]
[RetailExcludingMortgageCredit][Trended_collective_provisions][Security]
[RetailExcludingMortgageCredit][Trended_other][Security]
Seniority Seniority as per Regulation (EU) 2017/2401 Article 259 1 [StructuredFinance][Securitisation_positions][Seniority]
Seniorunsecuredexposure 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 difference between the Exposure Value (column 110) and the sum of all the columns representing the Funded Credit Protection (columns 170, 180, 190, 200, 210). NOTE: the sum of this and of the amount of 'Subordinated Unsecured Exposure' has to be equal to the result of the difference between the 'Exposure Value' (column 110) and the sum of all the columns representing the 'Funded Credit Protection' (columns 170, 180, 190, 200, 210) from COREP template CR IRB 1, unless this results in an amount which is larger than that of the Exposure Value (column 110): in this case the minimum of these two amounts has to be taken. 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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Senior unsecured exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Senior unsecured exposure]
[IFRSNineActuals][Wholesale_risk_measures][Senior unsecured exposure]
[UKCorporateExposures][UK_corporate_exposures][Senior unsecured exposure]
Sensitivitytype This represents an "Absolute" or "Relative" change to the risk factor identified. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Sensitivity type]
Sensitivityunitofmeasurement The units in which a sensitivity is expressed. For example, a value for IR Delta can be given for a 1 basis point or a 10 basis point move in interest rates. e.g. + 1bp; +10bp; +1%. Firms should use their own defined units of measurement or similar ones to those used in the “Market Risk” templates for the Traded Risk Scenario. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Sensitivity unit of measurement]
Sensitivityvaluegrossofcollateral This represents the sensitivity of the mark-to-market value of trades (gross of collateral) with a counterparty due to a change in a risk factor. For example, a x% EUR/USD FX depreciation will increase the MTM of trades with a counterparty by $xxx. The value could be both positive (increase in MTM) or negative (decrease in MTM). [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Sensitivity value (gross of collateral)]
SFTassetsposted Post-haircut mark-to-market value posted as part of SFT transactions [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][SFT assets posted ]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][SFT assets posted ]
SFTassetsreceived Post-haircut mark-to-market value received as part of SFT transactions. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][SFT assets received]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][SFT assets received]
SHassetliabilityclassheader A mid-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [StructuralHedge][Maturity_profile][Asset liability class header]
SHBalanceSheetHeader A high-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. [StructuralHedge][Maturity_profile][Balance sheet header]
Shocksize Size of shock (firm defined unless BoE defined) [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Shock size]
Shocksizeforcollaterisednettingsets The size of the shock applied under the stress test scenario for the risk factor identified and used for collateralised netting sets. Please use decimal instead of % or bp (e.g. 0.01 instead of 1% or 0.001 instead of 1bp) [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Shock size for collaterised netting sets]
Shocksizeforuncollaterisednettingsets The size of the shock applied under the stress test scenario for the risk factor identified and used for uncollateralised netting sets. Please use decimal instead of % or bp (e.g. 0.01 instead of 1% or 0.001 instead of 1bp) [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Shock size for uncollaterised netting sets]
Shocktype The type of shock, absolute or relative [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Shock type]
Shocktypeforcollaterisednettingsets The shock type (e.g. "Absolute" or "Relative") applied under the stress scenario to the risk factor identified and used for collateralised netting sets. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Shock type for collaterised netting sets]
Shocktypeforuncollaterisednettingsets The shock type (e.g. "Absolute" or "Relative") applied under the stress scenario to the risk factor identified and used for uncollateralised netting sets. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Shock type for uncollaterised netting sets]
Shockunit Unit of measurement e.g. bp , % [Market_Risk_Stressed_ProfitorLoss_Projections][Shocks][Shock unit]
Shockunitforcollaterisednettingsets The unit ( e.g. % or bp) of the shock applied under the stress scenario to the identified risk factor and used for collateralised netting sets. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Shock unit for collaterised netting sets]
Shockunitforuncollaterisednettingsets The unit ( e.g. % or bp) of the shock applied under the stress scenario to the identified risk factor and used for uncollateralised netting sets. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Shock unit for uncollaterised netting sets]
SHproducttype A classification of products used for ALM balance sheet purposes. [StructuralHedge][Maturity_profile][Product type]
SHReferenceRateTypes A category of reference rate used to price balance sheet and off-balance sheet items. [StructuralHedge][Maturity_profile][Reference rate type]
Sign The sign, (positive or negative) that will be multiplied to the reported amount to determine the unreconciled difference. [Reconciliations][Reconciliations][Sign]
The full legal name of the sponsor. The "Sponsor" is the "guarantor" of the facility, though in some cases the sponsor may not provide a guarantee. [CorporateSovereignFinInstCreditRisk][UK_CRE][Sponsor]
SRT Exposure is a retained tranche of a self-issued Significant Risk Transfer [StructuredFinance][Securitisation_positions][SRT]
Stockofmisconductprovisions The stock on balance sheet of provisions due to misconduct activity. [MaterialMisconductCostsActuals][Misconduct_historical][Stock of misconduct provisions]
StressedprojectionY1 Stressed projection Year 1 [RevenuesandCostsIBD][Core][Stressed projection Y1]
[RevenuesandCostsIBD][Core_subset][Stressed projection Y1]
[RevenuesandCostsIBD][Core_subset_granular][Stressed projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Stressed projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Stressed projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Stressed projection Y1]
[RevenuesandCostsIBD][Core_subset_granular_UK][Stressed projection Y1]
[RevenuesandCostsIBD][Non_core][Stressed projection Y1]
[RevenuesandCostsIBD][Reconciliations][Stressed projection Y1]
StressedprojectionY2 Stressed projection Year 2 [RevenuesandCostsIBD][Core][Stressed projection Y2]
[RevenuesandCostsIBD][Core_subset][Stressed projection Y2]
[RevenuesandCostsIBD][Core_subset_granular][Stressed projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Stressed projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Stressed projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Stressed projection Y2]
[RevenuesandCostsIBD][Core_subset_granular_UK][Stressed projection Y2]
[RevenuesandCostsIBD][Non_core][Stressed projection Y2]
[RevenuesandCostsIBD][Reconciliations][Stressed projection Y2]
StressedprojectionY3 Stressed projection Year 3 [RevenuesandCostsIBD][Core][Stressed projection Y3]
[RevenuesandCostsIBD][Core_subset][Stressed projection Y3]
[RevenuesandCostsIBD][Core_subset_granular][Stressed projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Stressed projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Stressed projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Stressed projection Y3]
[RevenuesandCostsIBD][Core_subset_granular_UK][Stressed projection Y3]
[RevenuesandCostsIBD][Non_core][Stressed projection Y3]
[RevenuesandCostsIBD][Reconciliations][Stressed projection Y3]
StressedprojectionY4 Stressed projection Year 4 [RevenuesandCostsIBD][Core][Stressed projection Y4]
[RevenuesandCostsIBD][Core_subset][Stressed projection Y4]
[RevenuesandCostsIBD][Core_subset_granular][Stressed projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Stressed projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Stressed projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Stressed projection Y4]
[RevenuesandCostsIBD][Core_subset_granular_UK][Stressed projection Y4]
[RevenuesandCostsIBD][Non_core][Stressed projection Y4]
[RevenuesandCostsIBD][Reconciliations][Stressed projection Y4]
StressedprojectionY5 Stressed projection Year 5 [RevenuesandCostsIBD][Core][Stressed projection Y5]
[RevenuesandCostsIBD][Core_subset][Stressed projection Y5]
[RevenuesandCostsIBD][Core_subset_granular][Stressed projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Stressed projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Stressed projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Stressed projection Y5]
[RevenuesandCostsIBD][Core_subset_granular_UK][Stressed projection Y5]
[RevenuesandCostsIBD][Non_core][Stressed projection Y5]
[RevenuesandCostsIBD][Reconciliations][Stressed projection Y5]
Stressshift Description of the shocks applied to illiquid positions. [Market_Risk_Stressed_ProfitorLoss_Projections][Illiquids][Stress shift]
Structuredfinanceassetclass A classification of the principal types of structured finance instruments. [CapitalAndOtherProjections][Structured_finance][Structured finance asset class]
[StructuredFinance][Covered_bonds][Structured finance asset class]
[StructuredFinance][Securitisation_positions][Structured finance asset class]
Structuredfinancepositiontype A classification of the characteristics or nature of a securitisation position. The securitisation will fall into one of the categories in the specified enumeration, determined by whether it is a cash or synthetic exposure, whether the position is long or short, and whether the position is a liquidity facility or not. [StructuredFinance][Securitisation_positions][Structured finance position type]
STScompliance Exposure achieves STS label and if so whether preferential capital treatment is attained as per Regulation (EU) 2017/2401 & 2017/2402 or whether exposure is a resecuritisation. [StructuredFinance][Securitisation_positions][STS compliance]
Subbusinessunit A more granular breakdown to cover the activities Markets, Capital Markets and Banking book referred to in the Revenues and Costs Guidance document. This should include e.g. sub-lines for Rates, FX, Equity, Credit Trading, Commodities, Advisory, Debt Capital Markets, Equity Capital Markets, Syndicate. These can be named according to your internal hierarchy definitions. Not all items will necessarily be able to be filled at this granularity but we expect mandatory fill on Finrep IDs 010,090,160,280,360 and for the memo items. [RevenuesandCostsIBD][Core_subset_granular][Sub business unit]
[RevenuesandCostsIBD][Core_subset_granular_Americas][Sub business unit]
[RevenuesandCostsIBD][Core_subset_granular_APAC][Sub business unit]
[RevenuesandCostsIBD][Core_subset_granular_EMEAexUK][Sub business unit]
[RevenuesandCostsIBD][Core_subset_granular_UK][Sub business unit]
Subordinatedunsecuredexposure 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 difference between the 'Exposure Value' (column 110) and the sum of all the columns representing the 'Funded Credit Protection' (columns 170, 180, 190, 200, 210). NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the difference between the 'Exposure Value' (column 110) and the sum of all the columns representing the 'Funded Credit Protection' (columns 170, 180, 190, 200, 210) from COREP template CR IRB 1, unless this results in an amount which is larger than that of the Exposure Value (column 110): in this case the minimum of these two amounts has to be taken. 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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Subordinated unsecured exposure]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Subordinated unsecured exposure]
[IFRSNineActuals][Wholesale_risk_measures][Subordinated unsecured exposure]
[UKCorporateExposures][UK_corporate_exposures][Subordinated unsecured exposure]
Subproducttype A sub classification of retail mortgage product risk characteristics. [IFRSNineActuals][Retail_secured_stages][Sub product type]
[IFRSNineActuals][Retail_secured_vintage][Sub product type]
[RetailMortgageCredit][LTV_arrears_MIA][Sub product type]
[RetailMortgageCredit][LTV_arrears_PIA][Sub product type]
[RetailMortgageCredit][LTV_repayment][Sub product type]
[RetailMortgageCredit][Vintage_analysis][Sub product type]
SwapRate Fixed rate on the swap paying a 3M floating rate (specified in the 'LIBOR swap curve' data item). [BalanceSheetProjections][ALM_interest_rates][Swap rate]
TaxTreatment An indication of whether a regulatory balance sheet amount is before tax or after tax. [CapitalAndOtherProjections][Pensions_reg_balance_sheet][Tax treatment]
Template The template the unique ID relates to. [Reconciliations][Reconciliations][Template]
Templatesource Description of the source location for the reported item [RevenuesandCostsIBD][Reconciliations][Template source]
Term Term/tenor of the interest rate on the yield curve. Note that terms 2m, 4m, 5m, 7m, 8m, 10m and 11m are optional, the rest of the yield curve is mandatory. [BalanceSheetProjections][ALM_interest_rates][Term]
Termofloananddebtsecurities The term of the loan or debt security in number of years from the loan inception or issuance date. [Other_Fair_Valued_Items_Projections][Underwriting_pipeline][Term of loan and debt securities]
TotalAVA The total amount of AVA to be deducted from capital including any benefits from diversification and offsetting items. [Stressed_PVA_Projections][Totals][Total AVA]
TotalCCE Total collateralised current exposure (CCE) across SFT, collateralised and uncollateralised derivative netting sets, i.e. the three fields above. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Total CCE]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Total CCE]
Totalcollateralassetsposted The sum of "Total assets posted for SFT netting sets" and "Total collateral posted for derivative netting sets" [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Total collateral/assets posted ]
Totalcollateralassetsreceived The sum of "Total assets received for SFT netting sets" and "Total collateral received for derivative netting sets" [Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Total collateral/assets received ]
TotalCustomerRate The average rate paid/received over the reporting period. It can be derived by calculating the total interest generated over the period divided by the average balance. [BalanceSheetProjections][ALM_balance_sheet][Total customer rate]
Totallimitifsyndicatedloan If reporting syndicated loans, specify the amount of the broader loan in which the reporter is participating. [CorporateSovereignFinInstCreditRisk][UK_CRE][Total limit if syndicated loan]
TotalMarketValuationofSoldProperties Total indexed valuation of the sold properties. It should be a full 'free market' value and not a repossession value. [RetailMortgageCredit][Sales][Total market valuation of sold properties]
Totalnumberofoutstandingloans The total number of retail mortgage loans with an amount to be repaid. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Total number of outstanding loans]
TotalOutflows Liquidity Coverage. Calculations. Total (DA)C 76.00.aRow Code300Column Code010 [Liquidity][Liquidity_ratios][Total Outflows]
TotalRealisedSaleValue The actual sale price of the property gross of costs i.e. the amount paid by the purchaser. [RetailMortgageCredit][Sales][Total realised sale value]
Totalrealisedsalevalueinperiod Actual sale price of the property gross of costs i.e. what was paid by the purchaser within period. [CapitalAndOtherProjections][Mortgage_arrears_repo_and_sales][Total realised sale value in period]
Totalreferenceportfoliounderlyingexpectedlossregulatory The current expected loss relating to the underlying reference portfolio. [StructuredFinance][Significant_risk_transfer][Total reference portfolio underlying expected loss regulatory]
Totalreferenceportfoliounderlyingunexpectedlossregulatory The current unexpected loss relating to the underlying reference portfolio. [StructuredFinance][Significant_risk_transfer][Total reference portfolio underlying unexpected loss regulatory]
TotalUCEforderivativenettingsets Total uncollateralised current exposure (UCE) across collateralised and uncollateralised derivative netting sets, as previously defined. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Total UCE for derivative netting sets]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Total UCE for derivative netting sets]
Tradedriskdataclassification A classification of the data returned which identifies whether the data is actual or scenario-based. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][Traded risk data classification]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][Traded risk data classification]
Tranche Tranche of the transaction which has achieved SRT. [StructuredFinance][Significant_risk_transfer][Tranche]
Tranchecouponindexandpremium Details of the coupon paid by the individual tranche (e.g. 1mLIBOR + 200bps; or 200bps Fixed). [StructuredFinance][Significant_risk_transfer][Tranche coupon index and premium]
Tranchematurity Tranche maturity as calculated under Regulation (EU) 2017/2401 Article 257 without Article 257.2 floor or cap applied [StructuredFinance][Securitisation_positions][Tranche maturity]
Transactionnameandseries Transaction name and series which has achieved SRT. For transactions post-2011, this should correspond with the name of deal found on the submission to the SRT inbox for consideration of capital relief under the Significant Risk Transfer regime. [StructuredFinance][Significant_risk_transfer][Transaction name and series]
Transitionalimpactamount The amount of transitional impact relating to either CET1, RWA or Own funds. [IFRSNinetransitionals][Transitional_impact][Transitional impact amount]
Transitionalimpactitemlevel1 A high level heading for Transitional impact. [IFRSNinetransitionals][Transitional_impact][Transitional impact item level 1]
Transitionalimpactitemlevel2 A mid level heading for Transitional impact. [IFRSNinetransitionals][Transitional_impact][Transitional impact item level 2]
Transitionalimpactitemlevel3 A low level heading for Transitional impact. [IFRSNinetransitionals][Transitional_impact][Transitional impact item level 3]
Turnover The total value of all transactions (in £) which generate the fee. [BalanceSheetProjections][Cards_other_income][Turnover]
Typeofcollateral Type of collateral held against facility provided to corporates. [UKCorporateExposures][Collateral_by_facility][Type of collateral]
UCEforcollateralisedderivativenettingsets Uncollateralised current exposure (UCE) for collateralised derivative netting sets. UCE for collateralised derivative netting sets takes into account legally enforceable counterparty netting but is gross of collateral. UCE for collateralised derivative netting sets can be derived as: (a) calculate MTM value of all contracts in a collateralised derivative netting set gross of collateral; (b) UCE to a netting set is the sum of the greater of the MTM value of the transactions or zero; (c) UCE to the counterparty or counterparty bucket level is the sum of the UCE of all collateralised derivative netting sets for that counterparty or counterparty bucket. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][UCE for collateralised derivative netting sets]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][UCE for collateralised derivative netting sets]
UCEforuncollateralisedderivativenettingsets Uncollateralised current exposure (UCE) for uncollateralised derivative netting sets. UCE for uncollateralised derivative netting sets takes into account legally enforceable counterparty netting. By definition, no collateral is applied. UCE for uncollateralised derivative netting sets can be derived as: (a) calculate MTM value of all contracts in an uncollateralised netting set; (b) UCE to a netting set is the sum of the greater of the MTM value of the transactions or zero; (c) UCE to the counterparty or counterparty bucket level, is the sum of the UCE of all uncollateralised derivative netting sets for that counterparty or counterparty bucket. [Counterparty_Credit_Risk_Losses_Projections][Aggregate_data][UCE for uncollateralised derivative netting sets]
[Counterparty_Credit_Risk_Losses_Projections][Counterparty_exposure_data][UCE for uncollateralised derivative netting sets]
UKbalancesheetitem A high level UK balance sheet item. [UK_Capital_Impact_Projections][UKCI_balance_sheet][UK balance sheet item]
UKcapitalimpactprofitlossitem A high level profit or loss item for UK capital impact. [UK_Capital_Impact_Projections][UKCI_profit_or_loss][UK capital impact profit or loss item]
UKleverageitem A high level leverage item for UK capital impact. [UK_Capital_Impact_Projections][UKCI_leverage][UK leverage item]
UKRWA Risk Weighted Exposure Amount reported where UK is the Country of Exposure on an ultimate risk basis. See definition for RWA and Country of Exposure for how these should be reported in more detail. [UK_Capital_Impact_Projections][UKCI_RWA][UK RWA]
Underlyingcapitalcharge Capital charge of the underlying pool. For exposures using SEC-IRBA report KIRB, for exposures using SEC-SA or SEC-ERBA report KSA as calculated under Regulation (EU) 2017/2401 Article 255 [CapitalAndOtherProjections][Structured_finance][Underlying capital charge]
[StructuredFinance][Securitisation_positions][Underlying capital charge]
Underlyingreference Refers to the underlying FX, rates, credit, equity and commodities reference. [Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Underlying reference]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Underlying reference]
[Stressed_PVA_Projections][Concentrated_position][Underlying reference]
UndrawnBalance The difference between the committed limit on a loan and the drawn balance. [IFRSNineActuals][Retail_secured_RWA][Undrawn balance]
[IFRSNineActuals][Retail_unsecured_RWA][Undrawn balance]
[IFRSNineActuals][Wholesale_risk_measures][Undrawn balance]
[RetailExcludingMortgageCredit][Trended_other][Undrawn balance]
[RetailMortgageCredit][Trended_other][Undrawn balance]
UnearnedcreditspreadsAVA The amount of AVA related to Unearned Credit Spreads as set out in EU Commission Delegated Regulation 2016/101 . [Stressed_PVA_Projections][Totals][Unearned credit spreads AVA]
UnilateralaccountingCVA As per CRR Article 273 paragraph 6 - the actual or projected unilateral accounting value that the firm deducts from the regulatory exposure value when calculating actual or projected risk weighted exposure amounts as per CRR Article 273 paragraph 6. Positive values are taken to denote credit valuation adjustments deductions from accounting P&L and would be subtracted from regulatory EAD as per CRR Article 273. Negative values are taken to denote credit valuation increases to accounting P&L. [CounterpartycreditriskRWA][CCR_RWAs][Unilateral accounting CVA]
UniqueID An internal identifier that a submitting firm uses to uniquely identify a instrument within a firm’s IT system. In structured finance data, this identifier will be used to match the instrument data in the historical data submission to the same instrument in the projections data submission. [CapitalAndOtherProjections][Structured_finance][Unique ID]
[Reconciliations][Reconciliations][Unique ID]
[StructuredFinance][Covered_bonds][Unique ID]
[StructuredFinance][Securitisation_positions][Unique ID]
[StructuredFinance][Significant_risk_transfer][Unique ID]
Uniqueidentifier An identifier assigned by a firm to uniquely identify a record within the firm’s system. [OperationalRisk][Operational_loss_details][Unique identifier]
UnstressedaccountingCVAposthedge Unstressed accounting balance of credit valuation adjustments (CVA) net of hedges. [Counterparty_Credit_Risk_Losses_Projections][Default_loss][Unstressed accounting CVA (post-hedge)]
Upsideuncertainty The upside uncertainty calculated and aggregated on the same basis as the total AVA but substituting a 10% level of certainty for the 90% used when determining the total AVA. [Stressed_PVA_Projections][Totals][Upside uncertainty]
USDhedgeratio The change in the value of any currency derivatives expressed as a percentage of the change in the value of USD-denominated assets resulting from an appreciation or depreciation of USD relative to the currency of the liabilities. [Pensioncurrencyhedge][Currency_hedge][USD hedge ratio]
ValuationgainorlossexchedginginstrumentsofwhichstressedCS Sum of valuation gains or losses arising from changes in credit spreads excluding any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss exc hedging instruments of which stressed CS]
ValuationgainorlossexchedginginstrumentsofwhichstressedFX Sum of valuation gains or losses arising from changes in FX rates excluding any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss exc hedging instruments of which stressed FX]
ValuationgainorlossexchedginginstrumentsofwhichstressedIN Sum of valuation gains or losses arising from changes in inflation excluding any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss exc hedging instruments of which stressed IN]
ValuationgainorlossexchedginginstrumentsofwhichstressedIR Sum of valuation gains or losses arising from changes in interest rates excluding any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss exc hedging instruments of which stressed IR]
Valuationgainorlossexchedginginstrumentstotal Sum of valuation gains or losses excluding any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss exc hedging instruments total]
ValuationgainorlossinchedginginstrumentsofwhichstressedCS Sum of valuation gains or losses arising from changes in credit spreads including any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss inc hedging instruments of which stressed CS]
ValuationgainorlossinchedginginstrumentsofwhichstressedFX Sum of valuation gains or losses arising from changes in FX rates including any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss inc hedging instruments of which stressed FX]
ValuationgainorlossinchedginginstrumentsofwhichstressedIN Sum of valuation gains or losses arising from changes in inflation including any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss inc hedging instruments of which stressed IN]
ValuationgainorlossinchedginginstrumentsofwhichstressedIR Sum of valuation gains or losses arising from changes in interest rates including any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss inc hedging instruments of which stressed IR]
Valuationgainorlossinchedginginstrumentstotal Sum of valuation gains or losses including any hedging instruments for the securities. [Other_Fair_Valued_Items_Projections][OFVI_projections][Valuation gain or loss inc hedging instruments total]
ValueofchangeinCCEattributedtoriskfactorunderstress The change in "Total CCE" that is attributed to the risk factor identified. Change in "Total CCE" is the difference between stressed CCE (under the stress scenario) and actual CCE. [Counterparty_Credit_Risk_Losses_Projections][Exposure_sensitivities][Value of change in CCE attributed to risk factor under stress]
Valueofcollateral Latest available value of collateral held against facility provided to corporates. If value is unknown or is not applicable to certain collateral types, such as guarantees, then leave this field blank but still include the type of collateral within the Typeofcollateral field. [UKCorporateExposures][Collateral_by_facility][Value of collateral]
Vega Change in value for a small move in implied volatility [Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Vega]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Vega]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Vega]
Vegaunit Firm defined unit of measurement for Vega. If Vega is populated then population of Vega unit is mandatory. [Market_Risk_Stressed_ProfitorLoss_Projections][Issuer_default][Vega unit]
[Market_Risk_Stressed_ProfitorLoss_Projections][Liquids][Vega unit]
[Market_Risk_Stressed_ProfitorLoss_Projections][Structural_liquids][Vega unit]
Vintage The year in which a loan was first originated. For overdrafts, this would be when the overdraft facility was granted or if data is not available when the associated current account was opened. [CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Vintage]
[IFRSNineActuals][Retail_secured_vintage][Vintage]
[IFRSNineActuals][Retail_unsecured_vintage][Vintage]
[RetailMortgageCredit][Vintage_analysis][Vintage]
Watchlist A list of counterparties or portfolios being monitored 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. [CorporateSovereignFinInstCreditRisk][Large_exposures][Watchlist]
[UKCorporateExposures][UK_corporate_exposures][Watchlist]
Weightedaverageleaselength Please provide the residual length of the lease, rather than the overall lease length, in number of years. For example, for a 10-year lease contracted in 2015, the lease length which should be reported in the 2021 STDF template submissions will be 5 years. For special cases provide the following (unless more applicable information is known): residential assured shorthold tenancies: 1 year, student accommodation: 0.5 years, vacant properties or guarantees: 0 years. [CorporateSovereignFinInstCreditRisk][UK_CRE][Weighted average lease length]
Wholesaleassetclass A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest. [CorporateSovereignFinInstCreditRisk][Comments][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Exposures_by_maturity][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Exposures_by_vintage][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Large_exposures][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Provisions][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][Risk_measures][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][UK_CRE][Wholesale asset class]
[CorporateSovereignFinInstCreditRisk][UK_CRE_lower_limit][Wholesale asset class]
[CounterpartycreditriskRWA][CCR_RWAs][Wholesale asset class]
[CounterpartycreditriskRWA][Comments][Wholesale asset class]
[FVORWA][RWA][Wholesale asset class]
[IFRSNineActuals][Wholesale_arrears_migrations][Wholesale asset class]
[IFRSNineActuals][Wholesale_provisions][Wholesale asset class]
[IFRSNineActuals][Wholesale_rating_migrations][Wholesale asset class]
[IFRSNineActuals][Wholesale_risk_measures][Wholesale asset class]
[IFRSNineActuals][Wholesale_stage_migrations][Wholesale asset class]
[UKCorporateExposures][UK_corporate_exposures][Wholesale asset class]
Wholesaleissuanceassetliabilityclassheader A sub-category of reference rate type which specifies the reference rate used to price balance sheet and off-balance sheet items. [WholesaleIssuanceProjections][Wholesale_issuance][Wholesale issuance asset liability class header]
Wholesaleissuancebalancesheetheader A high-level category for capturing aggregated information on balance sheet categories of debt and equity instruments. [WholesaleIssuanceProjections][Wholesale_issuance][Wholesale issuance balance sheet header]
Wholesaleissuanceproducttype A classification of products used for wholesale issuance purposes. [WholesaleIssuanceProjections][Wholesale_issuance][Wholesale issuance product type]
Wholesaleissuancereferencerate A sub-category of reference rate type which specifies the reference rate used to price debt issuance. [WholesaleIssuanceProjections][Wholesale_issuance][Wholesale issuance reference rate]
Wholesaleissuancereferenceratetype A category of reference rate used to price balance sheet debt issuance. [WholesaleIssuanceProjections][Wholesale_issuance][Wholesale issuance reference rate type]
WithdrawablecentralbankreservesandCoinsandbanknotes Liquidity Coverage . Liquid assets. Total (DA)C 72.00.aRow Code050 + 040Column Code040 [Liquidity][Liquidity_ratios][Withdrawable central bank reserves and Coins and banknotes]
Worksheet The worksheet the unique ID relates to. [Reconciliations][Reconciliations][Worksheet]
XVAlevel1 This represents the level at which XVA data is to be provided [Stressed_XVA_Projections][XVA][XVA level 1]
XVAmemoitem Related PVAs corresponding to the relevant values on the “Totals” sheet of the stress PVA template. [Stressed_XVA_Projections][Memo_items][XVA memo item]
Year0stock The stock amount as at Year 0 [Stressed_XVA_Projections][Memo_items][Year 0 (stock)]
[Stressed_XVA_Projections][XVA][Year 0 (stock)]
Year1change The difference between Year 1 stock and Year 0 stock [Stressed_XVA_Projections][Impact_on_income][Year 1 (change)]
[Stressed_XVA_Projections][Memo_items][Year 1 (change)]
[Stressed_XVA_Projections][XVA][Year 1 (change)]
Year1explainapproach1Commodities Marginal contribution to Year 1 (change) caused by moving commodities alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Commodities]
Year1explainapproach1Equities Marginal contribution to Year 1 (change) caused by moving equities alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Equities]
Year1explainapproach1FX Marginal contribution to Year 1 (change) caused by moving FX alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) FX]
Year1explainapproach1Inflation Marginal contribution to Year 1 (change) caused by moving inflation alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Inflation]
Year1explainapproach1Other Marginal contribution to Year 1 (change) caused by moving other risk factors alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Other]
Year1explainapproach1Othercreditspread Marginal contribution to Year 1 (change) caused by moving other credit spread (other than own credit/funding spread) alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Other credit spread]
Year1explainapproach1Owncreditfundingspread Marginal contribution to Year 1 (change) caused by moving own credit/funding spread alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Own credit/funding spread]
Year1explainapproach1Ratesexcinflation Marginal contribution to Year 1 (change) caused by moving rates exc inflation alone [Stressed_XVA_Projections][XVA][Year 1 explain (approach 1) Rates exc inflation]
Year1explainapproach2Commodities Marginal contribution to Year 1 (change) caused by moving commodities and counterparty credit/own credit/funding spread as applicable [Stressed_XVA_Projections][XVA][Year 1 explain (approach 2) Commodities]
Year1explainapproach2Equities Marginal contribution to Year 1 (change) caused by moving equities and counterparty credit/own credit/funding spread as applicable [Stressed_XVA_Projections][XVA][Year 1 explain (approach 2) Equities]
Year1explainapproach2FX Marginal contribution to Year 1 (change) caused by moving FX and counterparty credit/own credit/funding spread as applicable [Stressed_XVA_Projections][XVA][Year 1 explain (approach 2) FX]
Year1explainapproach2Inflation Marginal contribution to Year 1 (change) caused by moving inflation and counterparty credit/own credit/funding spread as applicable [Stressed_XVA_Projections][XVA][Year 1 explain (approach 2) Inflation]
Year1explainapproach2Other Marginal contribution to Year 1 (change) caused by moving other risk factors and counterparty credit/own credit/funding spread as applicable [Stressed_XVA_Projections][XVA][Year 1 explain (approach 2) Other]
Year1explainapproach2Ratesexcinflation Marginal contribution to Year 1 (change) caused by moving rates exc inflation and counterparty credit/own credit/funding spread as applicable [Stressed_XVA_Projections][XVA][Year 1 explain (approach 2) Rates exc inflation]
Year1impairmentcharge The impairment charge in Year 1 of the scenario, this should only be reported where Year first into one arrears equals Year 0 or before or Year 1. [RetailProjections][Arrears_flow][Year 1 impairment charge]
Year1stock The stock amount as at Year 1 [Stressed_XVA_Projections][Memo_items][Year 1 (stock)]
[Stressed_XVA_Projections][XVA][Year 1 (stock)]
Year2impairmentcharge The impairment charge in Year 2 of the scenario, this should only be reported where Year first into one arrears equals Year 0 or before, Year 1 and Year 2. [RetailProjections][Arrears_flow][Year 2 impairment charge]
Year3impairmentcharge The impairment charge in Year 3 of the scenario, this should only be reported where Year first into one arrears equals Year 0 or before, Year 1, Year 2 and Year 3. [RetailProjections][Arrears_flow][Year 3 impairment charge]
Year4impairmentcharge The impairment charge in Year 4 of the scenario, this should only be reported where Year first into one arrears equals Year 0 or before, Year 1, Year 2, Year 3 and Year 4. [RetailProjections][Arrears_flow][Year 4 impairment charge]
Year5impairmentcharge The impairment charge in Year 5 of the scenario, this should only be reported where Year first into one arrears equals Year 0 or before, Year 1, Year 2, Year 3, Year 4 and Year 5. [RetailProjections][Arrears_flow][Year 5 impairment charge]
YearfirstintooneormoreMIA The year a loan first became one or more months in arrears or went into possession. [RetailProjections][Arrears_flow][Year first into arrears]
Zipfoldername The exact name of the zip folder that the File name is submitted within. This is to assist with troubleshooting. [Basisofpreparationindex][Actuals_index][Zip folder name]
[Basisofpreparationindex][Projections_index][Zip folder name]