Stress Test Data Framework Dictionary 2017: Version 02

Capitalrequirementitemlevel2

Enumeration Definition
(-) Amount exceeding the 17.65% threshold COREP CA1 ID1.1.1.25
Available-for-sale
Counterparty CVA CVA impact portion of the total counterparty credit risk RWA.
Counterparty default Default risk portion of the total counterparty credit risk RWA.
Covered bonds Total RWA for covered bonds.
DTA below the 10% threshold to be risk weighted RWAs for DTA below the 10% threshold.
Non-Significant Investments below the 10% threshold RWAs for Non-Significant Investments below the 10% threshold.
Other Any other RWA and losses which do not fit into the above categories.
Securitisation positions Total RWA for securitisation positions.
Significant Investments below the 10% threshold RWAs for Significant Investments below the 10% threshold.