Stress Test Data Framework Dictionary 2021: Version 02

Risk_measures_by_portfolioIFRS9

This worksheet is a shortened IFRS9 version of the core worksheet Risk_measures_by_portfolio in the Capital and other projections template. Please provide the total portfolio such that the drawn balance reconciles to the core template. Therefore the scope of this template is different to that of the IFRS9 actuals template which only captures exposures for certain countries. It is a projection of a number of the firm’s credit risk measures for the Baseline and Annual cyclical stress scenario by STDF portfolio.

202101 IFRSNineProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Country of exposure String (255 long) CountryofExposureIFRS9projections CountryofExposure Yes Yes
2 Asset class String (255 long) AssetClassIFRS9projections AssetClass Yes Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 IFRS9 stage String (255 long) IFRS9stage IFRS9stage Yes Yes
6 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
7 IFRS9 12 month PD Float IFRS912monthPD 0.0000 Inclusive - -
8 IFRS9 lifetime PD Float IFRS9lifetimePD 0.0000 Inclusive - -
9 IFRS9 LGD Float IFRS9LGD 0.0000 Inclusive - -
10 Provisions balance Float Provisions 0.0000 Inclusive Yes -
11 New drawn balance in period Float Newdrawnbalanceinperiod Yes -