Stress Test Data Framework Dictionary 2017: 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 all scenarios, 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.

201702 CounterpartycreditriskRWA

Order Field Name Enumeration Definition
1 Organisational unit level 1 Please enter the highest logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
2 Organisational unit level 2 Please enter the second logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
3 Organisational unit level 3 Please enter the third (if applicable) logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
4 Country of exposure CountryofExposure The country of residence of the obligor on an ultimate risk basis. The definition should be consistent with that used for the purposes of the 'geographical breakdown of exposures by residence of the obligor' in COREP (C 09.01 and C 09.02). When the exposure is to an international corporate body and therefore cannot be attributed to a specific country, the SUPRA continental enumerations should be used. Continental totals provided should only be used in projections templates when no specific country can be identified, they should not be used in actuals templates.
5 Wholesale asset class Wholesaleassetclass A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest.
6 Counterparty credit risk type Counterpartycreditrisktype A classification of exposures used for a breakdown of counterpart credit risk RWA and Expected Loss figures. Exposures are reported as the sum of legal netting sets containing one of the specified exposure types. Securities financing transactions are considered to be: repurchase transactions; securities or commodities lending or borrowing transactions; margin lending transactions.
7 EAD calculation methodology EADcalculationmethodology The methodology or approach used to calculate regulatory EAD. If there is material use of different EAD calculation methodologies, this breakdown should be provided. For example, If most of the derivative portfolio is covered by IMM, then use IMM as the EAD Calculation Methodology.
8 CCR risk weight calculation method CCRriskweightcalculationmethod A method or approach used to calculate risk weights for bilateral counterparties or to calculate risk weights for CCP default fund exposures (for those firms that include CCP default fund contributions in their counterparty credit risk).
9 Scenario Scenario Identifies the scenario.
10 Projection period Projectionperiod The period to which the associated projections relate.
11 Unilateral accounting CVA As per CRR Article 273 paragraph 6 - the actual or projected unilateral accounting value that the firm deducts from the regulatory exposure value when calculating actual or projected risk weighted exposure amounts as per CRR Article 273 paragraph 6. Positive values are taken to denote credit valuation adjustments deductions from accounting P&L and would be subtracted from regulatory EAD as per CRR Article 273. Negative values are taken to denote credit valuation increases to accounting P&L.
12 Risk weighted exposure amount A risk weighted exposure amount for counterparty credit risk exposure and CCP default fund calculation. Note that CCP default fund risk weighted exposure amounts should be 12.5 times (x) the own funds requirements for CCP default charge defined in CRR Article 307-311.
13 Exposure value net of unilateral accounting CVA An exposure value - as per Article 273 - the sum of netting sets according to counterparty credit risk types net of unilateral accounting CVA, i.e. the exposure value used to calculate RWA. Note that CCP default fund exposure value should be the actual or projected default fund contributions.
14 Exposure value gross of unilateral accounting CVA An exposure value - as per Article 273 - the sum of netting sets according to counterparty credit risk types gross of unilateral accounting CVA, i.e. the output from the regulatory exposure method.
15 Expected loss regulatory Expected Loss (credit risk) is the Basel regulatory expected loss, as estimated for exposure where capital requirements are calculated under the IRB approach, as per CRR Article 158. For standardised exposures, expected loss should not be reported. For securitisation positions and covered bonds, this is the expected loss of the instrument, net of any impairments that have already been taken through P&L. For the projections template this should be the expected loss over the entire economic life of the asset as measured at the end of the projection year, not the change in expected loss during that year. Losses should be recorded as a positive number in the structured finance data submissions.