Stress Test Data Framework Dictionary 2021: Version 02

UK_corporate_exposures

This tab captures historic actuals of the firm's UK corporate exposures at facility level. Where exposures to an individual counterparty in total are below £250k, these totals should be aggregated into one row per asset class. Exposures to be included should capture those within the Risk_measures tab in the Corporate, Sovereign and Financial Institutions Credit Risk template where the country of exposure is reported as UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND and the wholesale asset class is reported as one of the following: Large corporate, Mid corporate, SME. The measures are to be populated for each Credit rating defined within the context of a Basel approach. Firms should use internal credit ratings as long as these have been mapped to a PD range. For A-IRB, F-IRB and Retail IRB, EL, PD and LGD are mandatory, and for IRB Slotting, only EL is mandatory. For F-IRB, the LGD measure should be populated with the prescribed regulatory LGD. For the ‘Standardised’ Basel approach, EL, PD and LGD measures are not applicable. If an internal credit rating is available for exposures even when the ‘Standardised’ Basel approach is used, the internal rating scale name and rating should be populated. If available, internal PD and LGD measures should also be populated when the ‘Standardised’ Basel approach is used. Credit Rating should be populated for all portfolios. The credit rating should be populated as ‘Default’ for all exposures regardless of Basel approach once an asset has defaulted instead of populating with an internal credit rating. For the ‘Standardised’ Basel approach, the credit rating should be populated as ‘Default’ or ‘Not in default’, when 'Standardised - No internal rating' credit rating scale name is selected. By collecting information on collateral and security, we wish to be able to treat differently the safest loans from the riskiest ones for LGD purposes. The percentage exposure should be calculated based on Exposure for RWA. If the Exposure for RWA split is not possible, then Drawn Balance can be used. Guaranteed exposures are not considered secured, unless they are collateralised. If no information is available regarding portfolio collateralisation, the firm should enter the entire exposure in the Subordinated unsecured exposure column.

202101 UKCorporateExposures

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Companies house registration number String (255 long) Companieshouseregistrationnum Yes -
2 Wholesale asset class String (255 long) UKcorporateassetclass Wholesaleassetclass Yes -
3 Industrial classification String (255 long) IndustrialclassificationUKcorporate Yes -
4 Facility ID String (255 long) FacilityID Yes -
5 Facility type String (255 long) FacilityTypecorporateexposure FacilityType Yes -
6 Basel approach String (255 long) BaselApproach BaselApproach Yes -
7 Credit rating scale name String (255 long) Creditratingscalename Creditratingscalename Yes -
8 Internal credit rating String (255 long) Wholesaleinternalcreditrating Internalcreditrating Yes -
9 Default status String (255 long) DefaultStatus DefaultStatus - -
10 IFRS9 Stage String (255 long) IFRS9stage IFRS9stage Yes -
11 Committed limit Float CommittedLimit 0.0000 Inclusive Yes -
12 Drawn balance Float DrawnBalance 0.0000 Inclusive Yes -
13 RWA Float RWA 0.0000 Inclusive Yes -
14 Exposure for RWA Float ExposureforRWA 0.0000 Inclusive Yes -
15 Exposure for impairments Float Exposureforimpairments 0.0000 Inclusive Yes -
16 PD regulatory Float PDregulatory 0.0000 1.0000 Inclusive - -
17 LGD regulatory Float LGDregulatory 0.0000 1.0000 Inclusive - -
18 Expected loss regulatory Float Expectedlossregulatory 0.0000 Inclusive - -
19 Secured exposure Float Securedexposure Yes -
20 Senior unsecured exposure Float Seniorunsecuredexposure Yes -
21 Subordinated unsecured exposure Float Subordinatedunsecuredexposure Yes -
22 Provisions Float Provisions 0.0000 Inclusive Yes -
23 Date of origination Date (YYYYMMDD) Dateoforigination Yes -
24 Maturity date Date (YYYYMMDD) MaturityDate Yes -
25 Amortisation String (255 long) Amortisation - -
26 Forborne String (255 long) Forborne Forborne Yes -
27 Watchlist String (255 long) Boolean Watchlist Yes -