Stress Test Data Framework Dictionary 2021: Version 02

Illiquids

This context captures scenario losses or gains for all Market risk asset classes and for “illiquid” positions (as defined by the Bank of England in the Traded Risk Methodology document).

202101 Market_Risk_Stressed_ProfitorLoss_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Market risk asset class String (255 long) Marketriskassetclass2 Marketriskassetclass Yes Yes
2 Geographic region String (255 long) Marketriskgeographicregion Yes Yes
3 Organisational unit level 1 String (255 long) Organisationalunitlevel1 Yes Yes
4 Organisational unit level 2 String (255 long) Organisationalunitlevel2 Yes Yes
5 Currency of exposure String (255 long) Currency CurrencyofexposureMR Yes Yes
6 Illiquidity type String (255 long) Illiquiditytype Yes Yes
7 Scenario description String (255 long) Scenariodescription Yes Yes
8 Liquidity horizon String (255 long) Liquidityhorizon Yes Yes
9 Stress shift String (255 long) Stressshift Yes Yes
10 Revaluation method String (255 long) Revaluationmethod Yes Yes
11 Scenario loss or gain Float Scenariolossorgain Yes -
12 Basis of preparation reference String (255 long) Basisofpreparationreference Yes -