Stress Test Data Framework Dictionary 2021: Version 02

Wholesale_rating_migrations

This worksheet aims to measure ratings migrations between the reporting date and the previous reporting date for Corporate, Sovereign and Financial institutions credit risk by country and asset class. 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 Drawn balance should reconcile back to the STDF actuals Corporate, sovereign and financial institution credit risk data for these countries. Please include those exposures that have moved off balance sheet from time T-1 to time T in this template.

202101 IFRSNineActuals

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
2 Wholesale asset class String (255 long) Wholesaleassetclass Wholesaleassetclass Yes Yes
3 Basel approach String (255 long) BaselApproach BaselApproach Yes Yes
4 Credit rating scale name String (255 long) Creditratingscalename Creditratingscalename Yes Yes
5 Internal credit rating at T-1 String (255 long) InternalcreditratingatT1 Yes Yes
6 Internal credit rating String (255 long) Internalcreditrating Yes Yes
7 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
8 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
9 Change in provisions balance Float Changeinprovisionsbalance Yes -