Stress Test Data Framework Dictionary 2021: Version 02

CCR_RWAs

The ‘Counterparty credit risk RWAs’ worksheet captures starting and projected capital requirements and exposures at default (EAD) for counterparty default risk under the Annual cyclical stress scenario, disaggregated by wholesale asset class, counterparty credit risk type, EAD calculation methodology and Basel approach. Please note that other traded risk related components of RWA (e.g. settlement risk and large exposures) are not captured in the traded risk templates, but are captured in other templates.

202101 CounterpartycreditriskRWA

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Organisational unit level 1 String (255 long) Organisationalunitlevel1 Yes Yes
2 Organisational unit level 2 String (255 long) Organisationalunitlevel2 Yes Yes
3 Organisational unit level 3 String (255 long) Organisationalunitlevel3 Yes Yes
4 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
5 Wholesale asset class String (255 long) Wholesaleassetclass Wholesaleassetclass Yes Yes
6 Counterparty credit risk type String (255 long) Counterpartycreditrisktype Counterpartycreditrisktype Yes Yes
7 EAD calculation methodology String (255 long) EADcalculationmethodology EADcalculationmethodology Yes Yes
8 CCR risk weight calculation method String (255 long) CCRriskweightcalculationmethod CCRriskweightcalculationmethod Yes Yes
9 Scenario String (255 long) ScenarioACS Scenario Yes Yes
10 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
11 Unilateral accounting CVA Float UnilateralaccountingCVA Yes -
12 Risk weighted exposure amount Float Riskweightedexposureamount 0.0000 Inclusive - -
13 Exposure value net of unilateral accounting CVA Float ExposurevaluenetofunilateralaccountingCVA 0.0000 Inclusive - -
14 Exposure value gross of unilateral accounting CVA Float ExposurevaluegrossofunilateralaccountingCVA 0.0000 Inclusive - -
15 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -