Stress Test Data Framework Dictionary 2021: Version 02

Retail_secured_RWA

This worksheet collects information relating to Credit risk type Retail mortgage credit risk. It is the IFRS9 version of the STDF actuals Retail mortgage credit template 013, tab RWA. It collects PD data both at the origination of the loan and at the reporting date. This tab should only be completed where country of exposure equals United Kingdom of Great Britain and Northern Ireland, United States or Hong Kong. RWA, Exposure for RWA and Drawn balance should reconcile back to the STDF actuals Retail mortgage credit risk data for these countries.

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 secured asset class String (255 long) RetailSecuredAssetClass Retailsecuredassetclass Yes Yes
6 Retail secured product type String (255 long) Retailsecuredproducttype Retailsecuredproducttype Yes Yes
7 Basel approach String (255 long) BaselApproach BaselApproach Yes Yes
8 Lifetime PD band at origination String (255 long) Pdbandretail LifetimePDbandatorigination Yes Yes
9 Residual lifetime PD band String (255 long) Pdbandretail ResiduallifetimePDband Yes Yes
10 IFRS9 stage String (255 long) IFRS9stage IFRS9stage Yes Yes
11 IFRS9 stage 2 classification reason String (255 long) IFRS9stage2classificationreason IFRS9stage2classificationreason - Yes
12 IFRS9 residual maturity band String (255 long) IFRS9residualmaturityband IFRS9residualmaturityband Yes Yes
13 Forborne String (255 long) Forborne Forborne Yes Yes
14 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
15 RWA Float RWA 0.0000 Inclusive Yes -
16 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
17 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
18 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
19 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
20 Balance weighted interest rate Float Balanceweightedinterestrate Yes -
21 Number of loans Float Numberofloans 0.0000 Inclusive Yes -
22 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
23 Provisions Float Provisions 0.0000 Inclusive Yes -
24 Undrawn balance Float UndrawnBalance 0.0000 Inclusive Yes -