Enumeration | Definition |
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CRE development | Facilities secured against development transactions where the primary means of repayment is through the completion of that development. Includes: a) house builder with non-recourse SPV exposure for a specific property development; and b) specific developments or structured exposures for corporate property companies (e.g. British Land PLC). Excludes trading exposures to house builders. |
CRE investment | Facilities secured against property where the rental income from the property is the primary means of repayment of the facility. Includes: a) exposures to commercial real estate properties where the development phase has been concluded; and b) hotels and nursing homes on a third party lease. Excludes: a) loans to social housing associations; b) other hotel and nursing homes loans (i.e. owner occupied); c) Op Co/Prop Co exposures with a wider corporate relationship; d) other exposures of corporate property companies (e.g. General Corporate unsecured balance sheet lending); e) CRE exposures held at Fair Market Value; and f) hedging positions where there is no debt. |
Financial institution | Exposures to financial institutions authorised and supervised by the competent authorities and subject to prudential requirements comparable to those applied to institutions in terms of robustness shall be treated as exposures to institutions. This corresponds to a subset of the 'Institutions' asset class as defined in COREP, in particular: a) on IRB it is the residual of 'Institutions' exposures class, after having taken out public sector entities and housing associations. b) On Standardised it corresponds to the sum of: i) 'institutions' exposures class. ii) a subset of 'exposures in default' asset class, in particular the part including exposures towards Institutions. |
Housing association | Defined as a subset of the COREP exposures classes: a) On IRB: subset of IRB 'institutions' exposures class . b) On standardised: subset of i) Public sector entities. ii) a subset of exposures in default, in particular including exposures towards housing associations. The condition for the subset is the principal SIC code being 68201. This is only relevant for social housing in UK. |
Large corporate | Includes exposures to corporates with an annual turnover in excess of £500m. It corresponds to a subset of the following exposures classes in COREP: a) On IRB it corresponds to a subset of 'corporates - other' exposures class, defined by all the companies with a turnover above £500m, having excluded exposures towards CRE. b) On standardised it corresponds to the sum of the following: i) subset of 'corporates' exposures class, defined as those companies with a turnover above £500m, having excluded exposures towards CRE. ii) a subset of 'exposures in default' asset class, in particular the part including exposures versus corporates with a turnover above £500m, having excluded exposures towards CRE. |
Mid corporate | Includes exposures to corporates with an annual turnover below £500m, excluding SMEs and CRE. It corresponds to a subset of the following exposures classes in COREP: a) On IRB it corresponds to a subset of 'corporates - other' exposures class, defined by all the companies with a turnover below £500m, having excluded exposures towards CRE. b) On standardised it corresponds to the sum of the following: i) subset of 'corporates' exposures class, defined as those companies with a turnover below £500m, having excluded exposures towards SME (as in CR SA row 11 ) and CRE. ii) a subset of 'exposures in default' asset class, in particular the part including exposures versus corporates with a turnover below £500m, having excluded exposures towards SME and CRE. |
Mortgages | It is lending to individuals secured by mortgage on land and buildings where the lender has either a first or second (or subsequent) charge, where at least 40% of the land and buildings is used for residential purposes, and where the premises are for occupation by either the borrower (or dependant), or any other third party (e.g. it includes ‘buy to let’ lending to individuals). |
Other wholesale | Includes all non-material wholesale portfolios below a certain materiality threshold (to be determined for each firm). |
Quasi sovereign | Includes exposures to regional governments, local authorities, multilateral development banks and international organisations. The latter two should only be included as Quasi sovereigns if they are not already classified within Central banks or central governments and thus classified as Sovereign. It is defined as in COREP: a) On IRB it corresponds at a subset of 'institutions' and, in particular, it includes all exposures towards public sector entities. b) On standardised it corresponds to the sum of: i) Multilateral developments banks (unless these are classified within Sovereign). ii) International organisations (unless these are classified within Sovereign). iii) Regional governments or local authorities. iv) Public sector entities (excl. housing associations). v) a subset of 'exposures in default' asset class, in particular including exposures towards any of the exposures classes defined above. |
Retail non mortgage non SME | Assets which are managed within the business as retail but are not classified as ‘mortgages’ nor as ‘retail SME’ as defined within Article 147 (5) of the CRR. |
Retail SME | As defined in https://www.handbook.fca.org.uk/handbook/glossary/G2259.html |
SME | Includes exposures to SME corporates, excluding CRE. It corresponds to the following exposures classes in COREP: a) On IRB it corresponds to a subset of 'corporate - SME' exposures class, having excluded exposures towards CRE. b) On standardised it corresponds to exposures towards SME, as in row 11 of template CR SA. |
Sovereign | Includes exposures to countries and central banks, it is defined as in COREP: a) on IRB: corresponds to the 'central governments and central banks' exposures class. b) on standardised: corresponds to the sum of: i) 'central governments and central banks'. This may include some multilateral development banks and international organisations if they are defined with Central Governments and central banks within COREP. ii) subset of 'exposures in default' originated by central governments or central banks exposures. |