Stress Test Data Framework Dictionary 2021: Version 02

Capital_requirements

This worksheet examines risk weighted assets (RWA) by capital requirements level 1 and 2 for the Baseline and Annual cyclical stress scenario. The credit risk RWA projections should match the total RWA projections in the risk measures by portfolio template. The structured finance RWA projections (securitisation positions, covered bonds) should match the total RWA projections in the more detailed structured finance STDF template for the corresponding asset classes. The counterparty credit risk (counterparty default, counterparty CVA) and Market risk RWA projections should match the total RWA projections in the more detailed Market risk and CVA RWA and the Counterparty credit risk RWA STDF templates. The ‘Other’ risk type has been split further into ‘level 2’ to capture more granular RWA. Data reported in this template should be after IFRS9 transition arrangements have been taken into account.

202101 Capitaltransitionals

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Capital requirement item level 1 String (255 long) Capitalrequirementitemlevel1 Capitalrequirementitemlevel1 Yes Yes
2 Capital requirement item level 2 String (255 long) Capitalrequirementitemlevel2 Capitalrequirementitemlevel2 - Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 RWA Float RWA 0.0000 Inclusive Yes -