Stress Test Data Framework Dictionary 2017: Version 02

Traded_risk_capital_requirement

The ‘Market Risk and CVA RWA’ template captures the starting and projected capital requirements for Market Risk and CVA risk under all scenarios, disaggregated by risk component or calculation methodology. Please note that other traded risk related components of RWA (e.g. settlement risk and large exposures) are not captured in the traded risk templates, but are captured in other templates.

201701 MarketriskandCVARWA

Order Field Name Enumeration Definition
1 Market risk capital requirement level 1 Marketriskcapitalrequirementlevel1 A classification of traded risk used to capture capital requirements related to market risk and credit valuation adjustment.
2 Market risk capital requirement level 2 Marketriskcapitalrequirementlevel2 A breakdown of market risk and CVA RWA (capital requirements level 1) into components that specify the approach or method used for the capital requirements calculation.
3 Scenario Scenario Identifies the scenario.
4 Projection period Projectionperiod The period to which the associated projections relate.
5 RWA Risk Weighted Exposure Amount. For credit risk, see CRR Article 113 for the calculation of risk weighted exposure amounts under the standardised approach and Articles 153-157 for the calculation under the IRB approach. The RWA reported should correspond to COREP Item 220 (Template C 07.00) for Standardised and Item 260 (Template C 08.01) for IRB portfolios. For securitisation positions, risk weighted exposure amount is as per the capital calculation methodology. This has a minimum of zero and a maximum of 12.5 times the regulatory carry value. If a firm has deducted the asset from capital, this field should be entered as 12.5 times the capital deduction. In instances where trading book RWAs have been calculated in accordance with CRR Article 337(4), please provide the RWAs against each individual position as if the RWA had been calculated in accordance with Article 337(3.2) and state in the comments whether it is the long or short positions driving trading book RWAs. For structured finance data, if the asset is a hedge (short) on the trading book as described in CRR Article 346, the relevant reduction in risk weighted exposure should be applied and annotated accordingly in comments, clearly defining which of the three hedging treatments is being claimed.