Pillar 2B Dictionary 2018: Version 01

Capital_and_leverage

A breakdown of any other material deductions/filters, other than those specified, should be provided in the description column of line item ‘Other deductions’. Provide details of grandfathering instruments in the description column of the relevant capital tier line items. The 'Retained Earnings' line item should reconcile with the corresponding line item in the Profit or Loss worksheet. Any reconciliation differences should be explained in the description column. Firms should provide the ‘Tier 1 capital for Leverage ratio’ and ‘Total Leverage ratio exposure’ as per the definition currently applicable to them (for reporting or as a minimum requirement). Please provide the definition of the Tier 1 capital and exposure amount used for the calculation of the ‘Leverage ratio’ in the description column. Firms should provide CET1 capital resources projections for both the fully loaded impact of IFRS9 as well as transitional arrangements. Firms should refer to the Bank of England’s Stress Test web page on the clarification of IFRS9 for ICAAP stress testing and capital planning (http://www.bankofengland.co.uk/pra/Pages/supervision/activities/stresstestscenario.aspx).

201801 StressTestTemplates

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Capital results item level 1 String (255 long) Capitalresultsitemlevel1 Capitalresultsitemlevel1 Yes Yes
2 Capital results item level 2 String (255 long) Capitalresultsitemlevel2 Capitalresultsitemlevel2 Yes Yes
3 Capital results item level 3 String (255 long) Capitalresultsitemlevel3 Capitalresultsitemlevel3 - Yes
4 Base year 0 Float Baseyear0 Yes -
5 Base year 1 Float Baseyear1 Yes -
6 Base year 2 Float Baseyear2 Yes -
7 Base year 3 Float Baseyear3 Yes -
8 Base year 4 Float Baseyear4 Yes -
9 Base year 5 Float Baseyear5 Yes -
10 Stress year 0 pre management actions Float Stressyear0premanagementactions Yes -
11 Stress year 1 pre management actions Float Stressyear1premanagementactions Yes -
12 Stress year 2 pre management actions Float Stressyear2premanagementactions Yes -
13 Stress year 3 pre management actions Float Stressyear3premanagementactions Yes -
14 Stress year 4 pre management actions Float Stressyear4premanagementactions Yes -
15 Stress year 5 pre management actions Float Stressyear5premanagementactions Yes -
16 Stress year 0 post management actions Float Stressyear0postmanagementactions Yes -
17 Stress year 1 post management actions Float Stressyear1postmanagementactions Yes -
18 Stress year 2 post management actions Float Stressyear2postmanagementactions Yes -
19 Stress year 3 post management actions Float Stressyear3postmanagementactions Yes -
20 Stress year 4 post management actions Float Stressyear4postmanagementactions Yes -
21 Stress year 5 post management actions Float Stressyear5postmanagementactions Yes -
22 Description of Capital leverage or PRA buffer item String (255 long) DescriptionofCapitalleverageorPRAbufferitem - -