Stress Test Data Framework Dictionary 2017: Version 02

EL-P_reconciliation

This worksheet contains the data required to reconcile the Expected loss (EL) and Provision (P) values to the EL-P capital deduction (or T2 addition), please refer to the reconciliations rules for further clarification. The credit risk numbers should reconcile to the sums for IRB portfolios on the Risk measures by portfolio tab. ‘Other’ should include any credit risk not contained in that tab, such as AFS. Data are required for all scenarios.

201702 CapitalAndOtherProjections

Order Field Name Enumeration Definition
1 Risk type EL_PRisktype A classification of risk used within the stress test data collection.
2 Default status and expected loss or provision Defaultstatusandexpectedlossorprovision A combination of default status and an indicator of expected loss or provisions.
3 Scenario Scenario Identifies the scenario.
4 Projection period Projectionperiod The period to which the associated projections relate.
5 Balance Refers to drawn balance but typically used in combination with other terms. For example, balance up-to-date refers to the portion of an exposures' drawn balance that is not in arrears. It could also refer to the value of a balance sheet or P&L item. This can also be used in the context of a balance sheet item; this is used to capture the balance sheet position.