Stress Test Data Framework Dictionary 2021: Version 02

Large_exposures

This worksheet captures details of global exposures over £10 million as defined by Exposure for RWA. All exposures should be at counterparty level. Country of exposure and Industrial classification is to indicate where the majority of the exposure is. Large Exposures measures are on Guarantor basis and the counterparty name is on an Obligor basis in line with previous submissions. ‘True’ or ‘false’ for ‘watchlist’ should indicate if the counterparty is on the firm’s watch list (based on internal criteria).

202101 CorporateSovereignFinInstCreditRisk

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Counterparty name String (255 long) CounterpartyName Yes Yes
2 Legal entity identifier String (255 long) Legalentityidentifier - -
3 Companies house ID String (255 long) CompanieshouseID - -
4 Wholesale asset class String (255 long) Wholesaleassetclass Wholesaleassetclass Yes -
5 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes -
6 Industrial classification String (255 long) Industrialclassification Industrialclassification Yes -
7 Basel approach String (255 long) BaselApproach BaselApproach Yes -
8 Credit rating scale name String (255 long) Creditratingscalename Creditratingscalename Yes -
9 Internal credit rating String (255 long) Wholesaleinternalcreditrating Internalcreditrating Yes -
10 Default status String (255 long) DefaultStatus DefaultStatus Yes -
11 External credit rating String (255 long) Externalcreditrating Externalcreditrating Yes -
12 Committed Limit Float CommittedLimit 0.0000 Exclusive Yes -
13 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
14 RWA Float RWA 0.0000 Inclusive Yes -
15 Exposure for RWA Float ExposureforRWA 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 Provisions Float Provisions 0.0000 Inclusive Yes -
20 Secured exposure Float Securedexposure Yes -
21 Senior unsecured exposure Float Seniorunsecuredexposure Yes -
22 Subordinated unsecured exposure Float Subordinatedunsecuredexposure Yes -
23 Exposure weighted maturity Float ExposureWeightedMaturity 0.0000 Inclusive Yes -
24 Exposure weighted vintage Float ExposureWeightedVintage 0.0000 Inclusive Yes -
25 Forborne String (255 long) Forborne Forborne Yes -
26 Watchlist String (255 long) Boolean Watchlist Yes -