Stress Test Data Framework Dictionary 2021: Version 02

UKcorporateassetclass

Enumeration Definition
Large corporate Includes exposures to corporates with an annual turnover in excess of £500m. It corresponds to a subset of the following exposures classes in COREP: a) On IRB it corresponds to a subset of 'corporates - other' exposures class, defined by all the companies with a turnover above £500m, having excluded exposures towards CRE. b) On standardised it corresponds to the sum of the following: i) subset of 'corporates' exposures class, defined as those companies with a turnover above £500m, having excluded exposures towards CRE. ii) a subset of 'exposures in default' asset class, in particular the part including exposures versus corporates with a turnover above £500m, having excluded exposures towards CRE.
Mid corporate Includes exposures to corporates with an annual turnover below £500m, excluding SMEs and CRE. It corresponds to a subset of the following exposures classes in COREP: a) On IRB it corresponds to a subset of 'corporates - other' exposures class, defined by all the companies with a turnover below £500m, having excluded exposures towards CRE. b) On standardised it corresponds to the sum of the following: i) subset of 'corporates' exposures class, defined as those companies with a turnover below £500m, having excluded exposures towards SME (as in CR SA row 11 ) and CRE. ii) a subset of 'exposures in default' asset class, in particular the part including exposures versus corporates with a turnover below £500m, having excluded exposures towards SME and CRE.
SME Includes exposures to SME corporates, excluding CRE. It corresponds to the following exposures classes in COREP: a) On IRB it corresponds to a subset of 'corporate - SME' exposures class, having excluded exposures towards CRE. b) On standardised it corresponds to exposures towards SME, as in row 11 of template CR SA.