Stress Test Data Framework Dictionary 2021: Version 02

Risk_measures

All the measures in this worksheet are to be populated on an obligor basis and for each Credit rating defined within the context of a Basel approach. Firms should use internal credit ratings as long as it has been mapped to a PD range. For A-IRB, F-IRB and Retail IRB, EL, PD and LGD are mandatory, and for IRB Slotting, only EL is mandatory. For F-IRB, the LGD measure should be populated with the prescribed regulatory LGD. For the ‘Standardised’ Basel approach, EL, PD and LGD measures are not applicable. If an internal credit rating is available for exposures even when the Basel Standardised approach is used, the internal rating scale name and rating should be populated. If available, internal PD and LGD measures should also be populated when the Basel Standardised approach is used. Credit Rating should be populated for all portfolios. The credit rating should be populated as ‘Default’ for all exposures regardless of Basel approach once an asset has defaulted instead of populating with an internal credit rating. For the ‘Standardised’ Basel approach, the credit rating should be populated as ‘Default’ or ‘Not in default’, when 'Standardised - No internal rating' credit rating scale name is selected. LTV Band is only applicable for Wholesale asset classes ‘CRE investment’ and ‘CRE development’. It could be Indexed LTV or current LTV based on mark-to-market (valuation within last 3 years). By collecting information on collateral and security, we wish to be able to treat differently the safest loans from the riskiest ones for LGD purposes. The percentage exposure should be calculated based on Exposure for RWA. If the Exposure for RWA split is not possible, then Drawn Balance can be used. Guaranteed exposures are not considered secured, unless they are collateralised. If no information is available regarding portfolio collateralisation, the firm should populate 1 in the Subordinated unsecured exposure column. Exposure for RWA covered by government lending schemes should identify the amount guaranteed by the UK government, but reported against the obligor wholesale asset class.

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 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
5 Wholesale asset class String (255 long) Wholesaleassetclass Wholesaleassetclass Yes Yes
6 Industrial classification String (255 long) Industrialclassification Industrialclassification Yes Yes
7 Basel approach String (255 long) BaselApproach BaselApproach Yes Yes
8 Credit rating scale name String (255 long) Creditratingscalename Creditratingscalename Yes Yes
9 Internal credit rating String (255 long) Wholesaleinternalcreditrating Internalcreditrating Yes Yes
10 Default status String (255 long) DefaultStatus DefaultStatus Yes Yes
11 LTV band String (255 long) IndexedLTVband IndexedLTVBand - Yes
12 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
13 RWA Float RWA 0.0000 Inclusive Yes -
14 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
15 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
16 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
17 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
18 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
19 Secured exposure Float Securedexposure Yes -
20 Senior unsecured exposure Float Seniorunsecuredexposure Yes -
21 Subordinated unsecured exposure Float Subordinatedunsecuredexposure Yes -
22 Number of obligors Int NumberofObligors 0.0000 Inclusive Yes -
23 Committed Limit Float CommittedLimit 0.0000 Exclusive Yes -
24 Exposure for RWA covered by government lending schemes Float EforRWAcoveredbyGLS - -