202101 Counterparty_Credit_Risk_Losses_Projections
Order | Field Name | Type | Enumeration | Definition | Range Bottom | Range Top | Range Scope | Mandatory | Unique |
---|---|---|---|---|---|---|---|---|---|
1 | Counterparty legal entity name | String (255 long) | Counterpartylegalentityname | - | Yes | ||||
2 | Counterparty legal entity identifier | String (255 long) | Counterpartylegalentityidentifier | - | Yes | ||||
3 | Geographic region | String (255 long) | Counterpartycreditrisklossesgeographicregion | - | - | ||||
4 | Country of legal entity | String (255 long) | CountryofExposure | Countryoflegalentity | - | - | |||
5 | Counterparty credit risk sector | String (255 long) | Counterpartycreditrisksector | Counterpartycreditrisksector | - | - | |||
6 | Traded risk data classification | String (255 long) | Tradedriskdataclassification | Tradedriskdataclassification | Yes | Yes | |||
7 | External credit rating Standard and Poor's | String (255 long) | ExternalcreditratingStandardandPoors | - | - | ||||
8 | External credit rating Fitch | String (255 long) | ExternalcreditratingFitch | - | - | ||||
9 | External credit rating Moody's | String (255 long) | ExternalcreditratingMoodys | - | - | ||||
10 | External credit rating DBRS | String (255 long) | ExternalcreditratingDBRS | - | - | ||||
11 | PD | Float | PD | 0.0000 | 1.0000 | Inclusive | - | - | |
12 | LGD | Float | LGD | 0.0000 | 1.0000 | Inclusive | - | - | |
13 | UCE for collateralised derivative netting sets | Float | UCEforcollateralisedderivativenettingsets | 0.0000 | Inclusive | - | - | ||
14 | UCE for uncollateralised derivative netting sets | Float | UCEforuncollateralisedderivativenettingsets | 0.0000 | Inclusive | - | - | ||
15 | Total UCE for derivative netting sets | Float | TotalUCEforderivativenettingsets | 0.0000 | Inclusive | - | - | ||
16 | CCE for SFT netting sets | Float | CCEforSFTnettingsets | 0.0000 | Inclusive | - | - | ||
17 | CCE for collateralised derivative netting sets | Float | CCEforcollateralisedderivativenettingsets | 0.0000 | Inclusive | - | - | ||
18 | CCE for uncollateralised derivative netting sets | Float | CCEforuncollateralisedderivativenettingsets | 0.0000 | Inclusive | - | - | ||
19 | Total CCE | Float | TotalCCE | 0.0000 | Inclusive | - | - | ||
20 | Classification of counterparty under stress scenario | String (255 long) | Classificationofcounterpartyunderstressscenario | Classificationofcounterpartyunderstressscenario | - | - | |||
21 | Accounting CVA (pre-hedge) | Float | AccountingCVAprehedge | 0.0000 | Inclusive | - | - | ||
22 | Accounting CVA (post-hedge) | Float | AccountingCVAposthedge | 0.0000 | Inclusive | - | - | ||
23 | CCP default fund contribution | Float | CCPdefaultfundcontribution | 0.0000 | Inclusive | - | - | ||
24 | Peak PFE | Float | PeakPFE | 0.0000 | Inclusive | - | - | ||
25 | Peak PFE tenor point | Float | PeakPFEtenorpoint | 0.0000 | Inclusive | - | - | ||
26 | Default loss under stress | Float | Defaultlossunderstress | 0.0000 | Inclusive | - | - | ||
27 | Net default loss | Float | Netdefaultloss | - | - | ||||
28 | Collateral data level 1 | String (255 long) | Collateraldatalevel1 | Collateraldatalevel1 | Yes | Yes | |||
29 | SFT assets posted | Float | SFTassetsposted | 0.0000 | Inclusive | - | - | ||
30 | Derivative collateral posted | Float | Derivativecollateralposted | 0.0000 | Inclusive | - | - | ||
31 | Total collateral/assets posted | Float | Totalcollateralassetsposted | 0.0000 | Inclusive | - | - | ||
32 | SFT assets received | Float | SFTassetsreceived | 0.0000 | Inclusive | - | - | ||
33 | Derivative collateral received | Float | Derivativecollateralreceived | 0.0000 | Inclusive | - | - | ||
34 | Total collateral/assets received | Float | Totalcollateralassetsreceived | 0.0000 | Inclusive | - | - | ||
35 | Initial margin requirement posted | Float | Initialmarginrequirementposted | 0.0000 | Inclusive | - | - | ||
36 | Initial margin requirement received | Float | Initialmarginrequirementreceived | 0.0000 | Inclusive | - | - |