Stress Test Data Framework Dictionary 2021: Version 02

RWA

This worksheet captures a series of risk measures per portfolio, drawn balance, RWA, exposure for RWA, PD regulatory, LGD regulatory and expected loss regulatory. The measures are to be populated for each credit rating defined within the context of a Basel approach. Firms can use internal credit ratings as long as it has been mapped to a PD range. For the standardised approach, EL, PD and LGD measures are not applicable and should be left blank / null. For A-IRB, F-IRB and Retail IRB, EL, PD and LGD should be reported and for IRB slotting, only EL should be reported. For F-IRB, the LGD measure should be populated with the prescribed regulatory LGD. Credit Rating is a mandatory dimension and should be populated for all portfolios. For the ‘standardised’ Basel approach, the credit rating should be populated as ‘default’ or ‘not in default’, when 'standardised no internal rating' retail credit rating scale name is selected. 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. RWA related to non-credit obligations should be a reconciling item in the reconciliations template and should not be populated in this context.

202101 RetailMortgageCredit

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 Retail secured asset class String (255 long) RetailSecuredAssetClass Retailsecuredassetclass Yes Yes
6 Retail secured product type String (255 long) Retailsecuredproducttype Retailsecuredproducttype 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) Internalcreditrating Internalcreditrating Yes Yes
10 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
11 RWA Float RWA 0.0000 Inclusive Yes -
12 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
13 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
14 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
15 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -