Pillar 2B Dictionary 2018: Version 01

Definitions

Definition Name Definition Field Name
Amount The relevant amount, either relating to assumed capital add-on or % of RWA. [StressTestTemplates][Capital_items][Amount]
Baseyear0 Value of the relevant measure for Year 0 of the Baseline scenario [StressTestTemplates][Capital_and_leverage][Base year 0]
[StressTestTemplates][Exposure_for_RWA][Base year 0]
[StressTestTemplates][Impairments_and_other_losses][Base year 0]
[StressTestTemplates][Other_macro_economic_variables][Base year 0]
[StressTestTemplates][Profit_or_loss][Base year 0]
[StressTestTemplates][RWA][Base year 0]
[StressTestTemplates][UK_macro_economic_variables][Base year 0]
Baseyear1 Value of the relevant measure for Year 1 of the Baseline scenario [StressTestTemplates][Capital_and_leverage][Base year 1]
[StressTestTemplates][Exposure_for_RWA][Base year 1]
[StressTestTemplates][Impairments_and_other_losses][Base year 1]
[StressTestTemplates][Other_macro_economic_variables][Base year 1]
[StressTestTemplates][Profit_or_loss][Base year 1]
[StressTestTemplates][RWA][Base year 1]
[StressTestTemplates][UK_macro_economic_variables][Base year 1]
Baseyear2 Value of the relevant measure for Year 2 of the Baseline scenario [StressTestTemplates][Capital_and_leverage][Base year 2]
[StressTestTemplates][Exposure_for_RWA][Base year 2]
[StressTestTemplates][Impairments_and_other_losses][Base year 2]
[StressTestTemplates][Other_macro_economic_variables][Base year 2]
[StressTestTemplates][Profit_or_loss][Base year 2]
[StressTestTemplates][RWA][Base year 2]
[StressTestTemplates][UK_macro_economic_variables][Base year 2]
Baseyear3 Value of the relevant measure for Year 3 of the Baseline scenario [StressTestTemplates][Capital_and_leverage][Base year 3]
[StressTestTemplates][Exposure_for_RWA][Base year 3]
[StressTestTemplates][Impairments_and_other_losses][Base year 3]
[StressTestTemplates][Other_macro_economic_variables][Base year 3]
[StressTestTemplates][Profit_or_loss][Base year 3]
[StressTestTemplates][RWA][Base year 3]
[StressTestTemplates][UK_macro_economic_variables][Base year 3]
Baseyear4 Value of the relevant measure for Year 4 of the Baseline scenario [StressTestTemplates][Capital_and_leverage][Base year 4]
[StressTestTemplates][Exposure_for_RWA][Base year 4]
[StressTestTemplates][Impairments_and_other_losses][Base year 4]
[StressTestTemplates][Other_macro_economic_variables][Base year 4]
[StressTestTemplates][Profit_or_loss][Base year 4]
[StressTestTemplates][RWA][Base year 4]
[StressTestTemplates][UK_macro_economic_variables][Base year 4]
Baseyear5 Value of the relevant measure for Year 5 of the Baseline scenario [StressTestTemplates][Capital_and_leverage][Base year 5]
[StressTestTemplates][Exposure_for_RWA][Base year 5]
[StressTestTemplates][Impairments_and_other_losses][Base year 5]
[StressTestTemplates][Other_macro_economic_variables][Base year 5]
[StressTestTemplates][Profit_or_loss][Base year 5]
[StressTestTemplates][RWA][Base year 5]
[StressTestTemplates][UK_macro_economic_variables][Base year 5]
Capitalitem The assumptions of capital requirements underlying the capital projections. [StressTestTemplates][Capital_items][Capital item]
Capitalresultsitemlevel1 A high level heading for the breakdown by type of risk for Capital results. [StressTestTemplates][Capital_and_leverage][Capital results item level 1]
Capitalresultsitemlevel2 A high level heading for the breakdown by type of risk for Capital results. [StressTestTemplates][Capital_and_leverage][Capital results item level 2]
Capitalresultsitemlevel3 A high level heading for the breakdown by type of risk for Capital results. [StressTestTemplates][Capital_and_leverage][Capital results item level 3]
Comment The comment made by the firm in relation to the rule or context of the respective template. [StressTestTemplates][Comments][Comment]
Context The sheet name within the Pillar 2B template of which the data item is being referenced. [StressTestTemplates][Comments][Context]
Countryofvariable The main country the variable relates to. [StressTestTemplates][Other_macro_economic_variables][Country of variable]
DescriptionofCapitalleverageorPRAbufferitem Please include a description of what is included here. For level 3 item Other, please provide detail of additional material deductions/filters (at CET1 level) applicable at different tiers of capital; specifying the deduction and the amount for each year. For Level 2 items Tier 1 and Tier 2 Capital please provide detail of grandfathering instruments. Where possible please put ICAAP page references for the inputs and buffer calculation. [StressTestTemplates][Capital_and_leverage][Description of Capital leverage or PRA buffer item]
DescriptionofExposureforRWAitem Please include a description of what is included here. This item is mandatory for Level 2 item "Other retail mortgage". [StressTestTemplates][Exposure_for_RWA][Description of Exposure for RWA item]
DescriptionofImpairmentsandotherlossesitem Please include a description of what is included here. This item is mandatory for the following items, Level 1 item "Other losses" and Level 2 item "Other retail mortgage". [StressTestTemplates][Impairments_and_other_losses][Description of Impairments and other losses item]
Descriptionofprofitorlossitem Please include a description of what is included here. This item is mandatory for the following items: Net trading income, Other net income, Other expenses, Other income & costs, Other discretionary payments (e.g. dividends, coupon payments) and Other one-off deductions. [StressTestTemplates][Profit_or_loss][Description of profit or loss item]
DescriptionofRWAitem Please include a description of what is included here. This item is mandatory for the following items, Level 1 item "Other RWA" and Level 2 item "Other retail mortgage". [StressTestTemplates][RWA][Description of RWA item]
ExposureforRWAlevel1 A heading for the breakdown by type of risk for Exposure for RWA. [StressTestTemplates][Exposure_for_RWA][Exposure for RWA level 1]
ExposureforRWAlevel2 A lower level heading for the breakdown of Exposure for RWA. [StressTestTemplates][Exposure_for_RWA][Exposure for RWA level 2]
Firmdefinedmacroormarket A UK or non-UK macro econcomic variable or market driver defined by the reporting firm other than those defined in the tab UK_macro_economic_variables throughout the baseline and stress scenarios as defined by the firm. [StressTestTemplates][Other_macro_economic_variables][Firm defined macro economic variable or market driver]
Impacteditem A balance sheet or profit or loss item that has been impacted by a management action. [StressTestTemplates][Stress_case_management_actions][Impacted item]
Impacttype The nature of the impact of a management action in regard to the balance sheet or P&L item that has been impacted. [StressTestTemplates][Stress_case_management_actions][Impact type]
Impairmentsandotherlosslevel1 A heading for the breakdown by type of risk of impairment charge and other losses taken through profit or loss. [StressTestTemplates][Impairments_and_other_losses][Impairments and other loss level 1]
Impairmentsandotherlosslevel2 A lower level heading for the breakdown of impairment charge and other losses taken through profit or loss. [StressTestTemplates][Impairments_and_other_losses][Impairments and other loss level 2]
Macroeconomicvariable A PRA defined macro econcomic variable throughout the baseline and stress scenarios. Completion of these is mandatory. [StressTestTemplates][UK_macro_economic_variables][Macro economic variable]
Managementactiondescription A description of the management action proposed by the submitting firm. [StressTestTemplates][Stress_case_management_actions][Management action description]
Managementactionnumber A unique identifier of a management action specified by the submitting firm. [StressTestTemplates][Stress_case_management_actions][Management action number]
Profitorlossitemlevel1 The Profit or loss item header. [StressTestTemplates][Profit_or_loss][Profit or loss item level 1]
Profitorlossitemlevel2 The profit or loss detail for each header item. [StressTestTemplates][Profit_or_loss][Profit or loss item level 2]
RuleID The rule ID the comment refers to. [StressTestTemplates][Comments][Rule ID]
RWAlevel1 A heading for the breakdown by type of risk for RWA. [StressTestTemplates][RWA][RWA level 1]
RWAlevel2 A lower level heading for the breakdown of RWA. [StressTestTemplates][RWA][RWA level 2]
Stressyear0 Year 0 of the stress scenario. [StressTestTemplates][Other_macro_economic_variables][Stress year 0]
[StressTestTemplates][Stress_case_management_actions][Stress year 0]
[StressTestTemplates][UK_macro_economic_variables][Stress year 0]
Stressyear0postmanagementactions Value of the relevant measure for Year 0 of the stress scenario post management actions [StressTestTemplates][Capital_and_leverage][Stress year 0 post management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 0 post management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 0 post management actions]
[StressTestTemplates][Profit_or_loss][Stress year 0 post management actions]
[StressTestTemplates][RWA][Stress year 0 post management actions]
Stressyear0premanagementactions Value of the relevant measure for Year 0 of the stress scenario pre management actions [StressTestTemplates][Capital_and_leverage][Stress year 0 pre management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 0 pre management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 0 pre management actions]
[StressTestTemplates][Profit_or_loss][Stress year 0 pre management actions]
[StressTestTemplates][RWA][Stress year 0 pre management actions]
Stressyear1 Year 1 of the stress scenario. [StressTestTemplates][Other_macro_economic_variables][Stress year 1]
[StressTestTemplates][Stress_case_management_actions][Stress year 1]
[StressTestTemplates][UK_macro_economic_variables][Stress year 1]
Stressyear1postmanagementactions Value of the relevant measure for Year 1 of the stress scenario post management actions [StressTestTemplates][Capital_and_leverage][Stress year 1 post management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 1 post management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 1 post management actions]
[StressTestTemplates][Profit_or_loss][Stress year 1 post management actions]
[StressTestTemplates][RWA][Stress year 1 post management actions]
Stressyear1premanagementactions Value of the relevant measure for Year 1 of the stress scenario pre management actions [StressTestTemplates][Capital_and_leverage][Stress year 1 pre management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 1 pre management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 1 pre management actions]
[StressTestTemplates][Profit_or_loss][Stress year 1 pre management actions]
[StressTestTemplates][RWA][Stress year 1 pre management actions]
Stressyear2 Year 2 of the stress scenario. [StressTestTemplates][Other_macro_economic_variables][Stress year 2]
[StressTestTemplates][Stress_case_management_actions][Stress year 2]
[StressTestTemplates][UK_macro_economic_variables][Stress year 2]
Stressyear2postmanagementactions Value of the relevant measure for Year 2 of the stress scenario post management actions [StressTestTemplates][Capital_and_leverage][Stress year 2 post management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 2 post management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 2 post management actions]
[StressTestTemplates][Profit_or_loss][Stress year 2 post management actions]
[StressTestTemplates][RWA][Stress year 2 post management actions]
Stressyear2premanagementactions Value of the relevant measure for Year 2 of the stress scenario pre management actions [StressTestTemplates][Capital_and_leverage][Stress year 2 pre management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 2 pre management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 2 pre management actions]
[StressTestTemplates][Profit_or_loss][Stress year 2 pre management actions]
[StressTestTemplates][RWA][Stress year 2 pre management actions]
Stressyear3 Year 3 of the stress scenario. [StressTestTemplates][Other_macro_economic_variables][Stress year 3]
[StressTestTemplates][Stress_case_management_actions][Stress year 3]
[StressTestTemplates][UK_macro_economic_variables][Stress year 3]
Stressyear3postmanagementactions Value of the relevant measure for Year 3 of the stress scenario post management actions [StressTestTemplates][Capital_and_leverage][Stress year 3 post management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 3 post management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 3 post management actions]
[StressTestTemplates][Profit_or_loss][Stress year 3 post management actions]
[StressTestTemplates][RWA][Stress year 3 post management actions]
Stressyear3premanagementactions Value of the relevant measure for Year 3 of the stress scenario pre management actions [StressTestTemplates][Capital_and_leverage][Stress year 3 pre management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 3 pre management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 3 pre management actions]
[StressTestTemplates][Profit_or_loss][Stress year 3 pre management actions]
[StressTestTemplates][RWA][Stress year 3 pre management actions]
Stressyear4 Year 4 of the stress scenario. [StressTestTemplates][Other_macro_economic_variables][Stress year 4]
[StressTestTemplates][Stress_case_management_actions][Stress year 4]
[StressTestTemplates][UK_macro_economic_variables][Stress year 4]
Stressyear4postmanagementactions Value of the relevant measure for Year 4 of the stress scenario post management actions [StressTestTemplates][Capital_and_leverage][Stress year 4 post management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 4 post management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 4 post management actions]
[StressTestTemplates][Profit_or_loss][Stress year 4 post management actions]
[StressTestTemplates][RWA][Stress year 4 post management actions]
Stressyear4premanagementactions Value of the relevant measure for Year 4 of the stress scenario pre management actions [StressTestTemplates][Capital_and_leverage][Stress year 4 pre management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 4 pre management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 4 pre management actions]
[StressTestTemplates][Profit_or_loss][Stress year 4 pre management actions]
[StressTestTemplates][RWA][Stress year 4 pre management actions]
Stressyear5 Year 5 of the stress scenario. [StressTestTemplates][Other_macro_economic_variables][Stress year 5]
[StressTestTemplates][Stress_case_management_actions][Stress year 5]
[StressTestTemplates][UK_macro_economic_variables][Stress year 5]
Stressyear5postmanagementactions Value of the relevant measure for Year 5 of the stress scenario post management actions [StressTestTemplates][Capital_and_leverage][Stress year 5 post management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 5 post management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 5 post management actions]
[StressTestTemplates][Profit_or_loss][Stress year 5 post management actions]
[StressTestTemplates][RWA][Stress year 5 post management actions]
Stressyear5premanagementactions Value of the relevant measure for Year 5 of the stress scenario pre management actions [StressTestTemplates][Capital_and_leverage][Stress year 5 pre management actions]
[StressTestTemplates][Exposure_for_RWA][Stress year 5 pre management actions]
[StressTestTemplates][Impairments_and_other_losses][Stress year 5 pre management actions]
[StressTestTemplates][Profit_or_loss][Stress year 5 pre management actions]
[StressTestTemplates][RWA][Stress year 5 pre management actions]