Stress Test Data Framework Dictionary 2021: Version 02

EL-P_reconciliation

This worksheet contains the data required to reconcile the Expected loss (EL) and Provision (P) values to the EL-P capital deduction (or T2 addition), please refer to the reconciliations rules for further clarification. The credit risk numbers should reconcile to the sums for IRB portfolios on the Risk measures by portfolio tab. ‘Other’ should include any credit risk not contained in that tab. Data are required for the Annual cyclical stress scenario. Data should be reported on a fully loaded basis, i.e before any IFRS9 transitional arrangements have been applied.

202101 CapitalAndOtherProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Risk type String (255 long) ELPRisktype Risktype Yes Yes
2 Default status and expected loss or provision String (255 long) Defaultstatusandexpectedlossorprovision Defaultstatusandexpectedlossorprovision Yes Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 Balance Float Balance 0.0000 Inclusive Yes -