Stress Test Data Framework Dictionary 2021: Version 02

Wholesale_risk_measures

This worksheet collects information relating to Credit risk type Corporate, sovereign and financial institution credit risk. It is the IFRS9 version of the STDF actuals Corporate, sovereign and financial institution credit risk template 018, tab Risk_measures. Firms should report this worksheet for the top 5 countries, where exposure is greater than £10bn, plus United Kingdom of Great Britain and Northern Ireland, if this is not one of the top 5. Where critical scenario countries lie outside those countries defined above, such countries should be added. The values at an asset class level for all countries reported for RWA, Exposure for RWA and Drawn balance should reconcile back to the STDF actuals Corporate, sovereign and financial institution credit risk data for these countries. IFRS9 stage for exposures such as operating leases and acceptances should be reported as No stage classification.

202101 IFRSNineActuals

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Organisational unit level 1 String (255 long) Organisationalunitlevel1 - Yes
2 Organisational unit level 2 String (255 long) Organisationalunitlevel2 - Yes
3 Organisational unit level 3 String (255 long) Organisationalunitlevel3 - Yes
4 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
5 Wholesale asset class String (255 long) Wholesaleassetclass Wholesaleassetclass Yes Yes
6 Industrial classification String (255 long) Industrialclassification Industrialclassification Yes Yes
7 Basel approach String (255 long) BaselApproach BaselApproach Yes Yes
8 Lifetime PD band at origination String (255 long) Pdbandwholesale LifetimePDbandatorigination Yes Yes
9 Residual lifetime PD band String (255 long) Pdbandwholesale ResiduallifetimePDband Yes Yes
10 Default status String (255 long) DefaultStatus DefaultStatus Yes Yes
11 Arrears band wholesale String (255 long) Arrearsbandwholesalestock Arrearsband Yes Yes
12 LTV band String (255 long) IndexedLTVband IndexedLTVBand - Yes
13 IFRS9 stage String (255 long) IFRS9stage IFRS9stage Yes Yes
14 IFRS9 stage 2 classification reason String (255 long) IFRS9stage2classificationreason IFRS9stage2classificationreason - Yes
15 IFRS9 residual maturity band String (255 long) IFRS9residualmaturityband IFRS9residualmaturityband Yes Yes
16 Forborne String (255 long) Forborne Forborne Yes Yes
17 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
18 Undrawn balance Float UndrawnBalance 0.0000 Inclusive Yes -
19 RWA Float RWA 0.0000 Inclusive Yes -
20 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
21 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
22 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
23 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
24 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
25 Secured exposure Float Securedexposure Yes -
26 Senior unsecured exposure Float Seniorunsecuredexposure Yes -
27 Subordinated unsecured exposure Float Subordinatedunsecuredexposure Yes -
28 Exposure weighted interest rate Float Exposureweightedinterestrate Yes -
29 Number of obligors Float NumberofObligors 0.0000 Inclusive Yes -