Pillar 2B Dictionary 2018: Version 01

201801 StressTestTemplates[Capital_and_leverage]

Compares patterns / combinations of data entries to pre-defined lists elsewhere in the Pillar 2B Dictionary. Each check will fail if a data item differs from those listed.

201801 StressTestTemplates[Capital_and_leverage]

Capitalresultsitemlevel1 Capitalresultsitemlevel2 Capitalresultsitemlevel3
Capital requirements Pillar 1 RWAs
Capital requirements Pillar 1 capital requirements
Capital requirements Pillar 2a (including pension and other static add-ons)
Capital requirements Total capital requirements (Pillar 1 + Pillar 2A)
Capital requirements Basel 1 floor (if applicable)
Capital resources Common equity tier 1 capital Total IFRS9 transitional
Capital resources Common equity tier 1 capital Total IFRS9 end point
Capital resources Common equity tier 1 capital Capital instruments eligible as CET1 capital
Capital resources Common equity tier 1 capital Retained earnings
Capital resources Common equity tier 1 capital Accumulated other comprehensive income
Capital resources Common equity tier 1 capital Adjustments to CET1 due to prudential filters
Capital resources Common equity tier 1 capital Other deductions
Capital resources Common equity tier 1 capital (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
Capital resources Common equity tier 1 capital (-) IRB shortfall of credit risk adjustments to expected losses
Capital resources Common equity tier 1 capital (-)Defined benefit pension fund assets
Capital resources Common equity tier 1 capital (-) CET1 instruments of financial sector entities where the institution has a significant investment, net of short positions
Capital resources Additional tier 1 capital
Capital resources Tier 1 capital
Capital resources Tier 2 capital
Capital resources Total capital resources
Capital resources CET1 surplus/deficit (over CET1 capital requirement)
Capital resources Total capital surplus/deficit (over total capital requirement)
Capital ratios CET1 capital ratio
Capital ratios Tier 1 capital ratio
Capital ratios Total capital ratio
Leverage Tier 1 capital for leverage ratio
Leverage Total leverage ratio exposure
Leverage Leverage ratio