Pillar 2B Dictionary 2018: Version 01

201801 StressTestTemplates

To support the assessment of stress testing in ICAAPs, firms are expected to complete the following worksheets with their baseline and stress scenario projections. Projections should correspond to the projections provided in the ICAAP document. The stress results reported should represent the stress scenario in the ICAAP document which firms deem adequately severe to be used for the calculation of the buffer requirement (PRA buffer). 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). The projection tables should be completed in reporting currency ( i.e. Pounds Sterling (GBP), US Dollars (USD), Euros (EUR), Canadian Dollars (CAD), Swiss Francs (CFH), Japanese Yen (JPY) or Swedish Krona (SEK)), rounded to the nearest whole number and should include the value 0 to indicate N/A or zero values. Where values correspond to percentages, these should be entered as a percentage. Firms are expected to complete all the worksheets with their base and stress projections, pre- and post- strategic management actions. The stress scenario should represent the stress used in the ICAAP to calculate the buffer requirements (PRA buffer). The Year 0 values should represent actual values and should reconcile with the ICAAP start date. Projections should be provided over the corresponding time horizon used in the ICAAP stress, i.e. up to 3 or up to 5 years. Any comments or descriptions of specific line items that are requested in the instructions should be included in the description column (last column) of the relevant worksheets. Expenses, impairments, other losses, tax and any other deductions from profits or capital should be entered as negative values. Definitions for all line items can be found in the respective part of this version of the Pillar 2B dictionary. Within the Submission header tab, firms should complete the following mandatory fields. The basis of their reporting should be either UK consolidated, solo consolidation, UK consolidation group or capital sub-group. For the submission number, firms should enter 1 and increase this number by 1 in case of resubmission. The accounting basis used should be completed i.e UK GAAP, US GAAP, IFRS. The reporting period start and end dates – these dates should coincide with the ICAAP assessment period. In particular, the reporting end date is the balance sheet end date used for the purposes of the ICAAP assessment and should correspond to the year 0 starting position of the stress test. Please also complete the name of the firm and the unique ‘firm reference number’ (FRN).

201801 StressTestTemplates [Projection]

Order TableName Header Offset First Line Of Data
01 Comments 3 4
02 UK_macro_economic_variables 3 4
03 Other_macro_economic_variables 3 4
04 Profit_or_loss 3 4
05 Impairments_and_other_losses 3 4
06 RWA 3 4
07 Exposure_for_RWA 3 4
08 Capital_items 3 4
09 Capital_and_leverage 3 4
10 Stress_case_management_actions 3 4