Stress Test Data Framework Dictionary 2021: Version 02

Risk_measures_by_portfolio

This is a projection of a number of firm’s credit risk measures for the Annual cyclical stress scenario by STDF portfolio, Basel approach, and default level of granularity. The Impairment charge measure in this context for Retail/Wholesale credit risk refers to the forecast of P&L impairment charge under the Annual cyclical stress scenario irrespective of how this is calculated i.e. this is the projected loss that is forecasted whether impairment methodology or an Expected loss methodology is used to calculate write-offs. The ‘Expected loss’ column is for forecasted Basel regulatory Expected loss as estimated for exposure where capital requirements are calculated under the IRB approach. For Standardised exposure, Expected loss should not be reported. PD regulatory is required for IRB exposures excluding slotting. Data should be reported on a fully loaded basis.

202101 CapitalAndOtherProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Credit risk type String (255 long) Creditrisktype Creditrisktype Yes Yes
2 Organisational unit level 1 String (255 long) Organisationalunitlevel1 - Yes
3 Organisational unit level 2 String (255 long) Organisationalunitlevel2 - Yes
4 Organisational unit level 3 String (255 long) Organisationalunitlevel3 - Yes
5 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
6 Asset class String (255 long) AssetClassProjections AssetClass Yes Yes
7 Product type String (255 long) ProductTypesforRetailSME ProductType - Yes
8 Security String (255 long) Security Security - Yes
9 Basel approach String (255 long) BaselApproach BaselApproach Yes Yes
10 Default status String (255 long) DefaultStatus DefaultStatus Yes Yes
11 Scenario String (255 long) ScenarioACS Scenario Yes Yes
12 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
13 Impairment charge Float ImpairmentCharge Yes -
14 Loss at write off Float LossatWriteOff Yes -
15 RWA Float RWA 0.0000 Inclusive Yes -
16 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
17 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
18 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
19 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
20 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
21 Provisions balance Float Provisions 0.0000 Inclusive Yes -
22 Default rate Float Defaultrate 0.0000 Inclusive Yes -