Stress Test Data Framework Dictionary 2021: Version 02

RWA

This worksheet captures information relating to capital held against equities and securities designated Non-trading financial assets mandatorily at fair value through profit or loss or Financial assets designated at fair value through profit or loss, excluding positions in scope of the Structured Finance template. For loans, equity instruments and debt securities, include RWA projections and expected losses (EL).

202101 FVORWA

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 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
5 FVO accounting designation String (255 long) FVOaccountingdesignation FVOaccountingdesignation Yes Yes
6 Wholesale asset class String (255 long) Wholesaleassetclass Wholesaleassetclass Yes Yes
7 FVO exposure type String (255 long) FVOexposuretype FVOexposuretype Yes Yes
8 Basel approach String (255 long) BaselApproachAFS BaselApproach Yes Yes
9 Scenario String (255 long) ScenarioACS Scenario Yes Yes
10 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
11 Clean market value Float CleanMarketValue Yes -
12 Fair value adjustments Float Fairvalueadjustments Yes -
13 Current notional Float CurrentnotionalFVO Yes -
14 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
15 RWA Float RWA 0.0000 Inclusive Yes -
16 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive Yes -