Stress Test Data Framework Dictionary 2021: Version 02

Unsecured_PD_migrations

This worksheet aims to measure PD band migrations between the reporting date and the previous reporting date for Retail excluding mortgage credit risk by country and asset class. This worksheet tab should only be completed for where country of exposure equals United Kingdom of Great Britain and Northern Ireland, United States or Hong Kong.

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 Retail unsecured asset class String (255 long) Retailunsecuredassetclass Retailunsecuredassetclass Yes Yes
6 Retail unsecured product type String (255 long) Retailunsecuredproducttype Retailunsecuredproducttype Yes Yes
7 Security String (255 long) Security Security - Yes
8 Point in time PD band at T-1 String (255 long) PdbandmigrationsT1unsecured PointintimePDbandatT1 Yes Yes
9 Point in time PD band String (255 long) Pdbandmigrationsunsecured PointintimePDband Yes Yes
10 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
11 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
12 Change in provisions balance Float Changeinprovisionsbalance Yes -