Stress Test Data Framework Dictionary 2021: Version 02

XVAlevel1

Enumeration Definition
Hedges Total XVA hedge values in fair-value accounting
Hedges - CVA Total hedges for CVA in fair-value accounting
Hedges - DVA Total hedges for DVA in fair-value accounting
Hedges - FVA Total hedges for FVA in fair-value accounting
Hedges - unattributable Total hedges for XVA unattributable to a particular XVA component
Total XVA and hedges Sum of Total XVA and Hedges in fair value accounting
XVA Total XVA in fair-value accounting
XVA - CVA Total XVA in fair-value accounting related to counterparty credit
XVA - DVA Total XVA in fair-value accounting related to own credit
XVA - FVA Total XVA in fair-value accounting related to funding costs
XVA - structured notes Total XVA in fair-value accounting arising from fair value own issuance