Stress Test Data Framework Dictionary 2021: Version 02

Liquids

This context captures scenario losses or gains for all Market risk asset classes and for “liquid” positions (as defined by the Bank of England in the Traded Risk Methodology document). Only report Country of issuer when Market risk asset class equals Equity or Credit.

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 Country of issuer String (255 long) CountryofExposure Countryofissuer Yes Yes
7 Underlying reference String (255 long) Underlyingreference Yes Yes
8 Delta Float Delta Yes -
9 Delta unit String (255 long) Deltaunit Yes -
10 Vega Float Vega - -
11 Vega unit String (255 long) Vegaunit - -
12 Scenario loss or gain Float Scenariolossorgain Yes -