Stress Test Data Framework Dictionary 2021: Version 02

UK_CRE

This worksheet captures details of UK, Guernsey, Isle of Man and Jersey CRE exposures greater than or equal to £5 million (defined by Exposure for RWA) at a borrower level. All loans to the same borrower should be aggregated into a single exposure and if that exposure is greater than or equal to £5 million, it should be included in this worksheet. Exposures included within this should capture where the country of exposure is reported as UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND, GUERNSEY, ISLE OF MAN and JERSEY within the Risk_measures tab. Whilst we would expect the majority of these exposures to imply that the property is located in the UK we anticipate there may be some properties located outside of the UK. Where properties outside of the UK are reported, please report these as Non UK within location of property. Please include the basis of aggregation within the basis of preparation, including the aggregation of loan level information into borrower level. CRE development type is required when Wholesale asset class equals CRE development. For instances of borrowers with multiple loans that are in different IFRS9 stages, please report the highest IFRS9 stage per borrower.

202101 CorporateSovereignFinInstCreditRisk

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Organisational unit level 1 String (255 long) Organisationalunitlevel1 - Yes
2 Organisational unit level 2 String (255 long) Organisationalunitlevel2 - Yes
3 Organisational unit level 3 String (255 long) Organisationalunitlevel3 - Yes
4 Wholesale asset class String (255 long) CREassetclass Wholesaleassetclass Yes Yes
5 CRE development type String (255 long) CREdevelopmenttype CREdevelopmenttype - Yes
6 Property sector String (255 long) Propertysector Propertysector Yes Yes
7 Property quality String (255 long) Propertyquality Propertyquality Yes Yes
8 Location of property String (255 long) Locationofproperty Locationofproperty Yes Yes
9 Name of borrower String (255 long) Nameofborrower Yes Yes
10 String (255 long) Sponsor Yes Yes
11 Basel approach String (255 long) BaselApproach BaselApproach Yes Yes
12 Credit rating scale name String (255 long) Creditratingscalename Creditratingscalename Yes Yes
13 Internal credit rating String (255 long) Wholesaleinternalcreditrating Internalcreditrating Yes Yes
14 IFRS9 stage String (255 long) IFRS9stage IFRS9stage Yes Yes
15 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
16 RWA Float RWA 0.0000 Inclusive Yes -
17 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
18 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
19 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
20 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
21 Provisions Float Provisions 0.0000 Inclusive Yes -
22 Indexed LTV Float IndexedLTVBand 0.0000 Exclusive Yes -
23 LTV at origination Float LTVatorigination 0.0000 Inclusive - -
24 Loan to end value for CRE development loans Float LoantoendvalueforCREdevelopmentloans 0.0000 Exclusive - -
25 Interest coverage ratio Float InterestCoverageRatio Yes -
26 Net rental income Float Netrentalincome Yes -
27 Interest basis String (255 long) Interestbasis Interestbasis - -
28 Weighted average lease length Int Weightedaverageleaselength Yes -
29 Maturity date Date (YYYYMMDD) MaturityDate Yes -
30 Date of origination Date (YYYYMMDD) Dateoforigination Yes -
31 CRE security String (255 long) CREsecurity CREsecurity Yes -
32 Forborne String (255 long) Forborne Forborne Yes -
33 Percentage of loan which is hedged Float Percentageofloanwhichishedged Yes -
34 Total limit if syndicated loan Float Totallimitifsyndicatedloan - -
35 Date loan became classified as IFRS9 stage 3 or impaired Date (YYYYMMDD) DateloanbecameIFRS9stage3 - -