Stress Test Data Framework Dictionary 2021: Version 02

Secured_PD_migrations

This worksheet aims to measure PD band migrations between the reporting date and the previous reporting date for Retail 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 secured asset class String (255 long) RetailSecuredAssetClass Retailsecuredassetclass Yes Yes
6 Retail secured product type String (255 long) Retailsecuredproducttype Retailsecuredproducttype Yes Yes
7 Point in time PD band at T-1 String (255 long) PdbandmigrationsT1secured PointintimePDbandatT1 Yes Yes
8 Point in time PD band String (255 long) Pdbandmigrationssecured PointintimePDband Yes Yes
9 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
10 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
11 Change in provisions balance Float Changeinprovisionsbalance Yes -