Stress Test Data Framework Dictionary 2021: Version 02

202101 Stressed_XVA_Projections

The purpose of this template is to record the impact on accounting and capital resources of stressed Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Funding Valuation Adjustment (FVA) and their hedges (collectively called stressed XVAs). For the avoidance of doubt, this template is meant to capture the impact to all fair-value positions due to shocks to counterparty credit (through spreads or ratings), to own-credit (however this impacts fair-valued positions) and to positional-funding costs (whether derived from own-spreads, peers bond yields or Markit Totem valuation services). Stress impact on the accounting for structured notes should also be included within this template net of market hedges i.e. where embedded derivatives are hedged with the relevant desk/counterparty. Please include all fair value through profit and loss changes that relate to XVA.

202101 Stressed_XVA_Projections [Projection]

Order TableName Header Offset First Line Of Data
01 Comments 3 4
02 XVA 3 4
03 Marginal_drivers 3 4
04 Net_drivers 3 4
05 Impact_on_income 3 4
06 Memo_items 3 4
07 CVA_breakdown 3 4