Stress Test Data Framework Dictionary 2021: Version 02

Underwriting_pipeline

Additional information on live security and syndicated loan underwriting commitments as at the effective date and any hedges to these should be provided in the tab for both the current pipeline as at the effective date (in full) and for a sample of the top 15 commitments and aggregated other commitments in past pipelines at six monthly reference points preceding the effective date (please use 'all other' selection under the deal name field for aggrgated other). For the aggregated other commitments, only total notional amounts are required. Be aware that the losses from current underwriting positions should already have been listed in the OFVI_projections tab, this pipeline tab merely provides more information. Note that live underwriting will be as defined in the methodology but is distinct from past, failed underwritings where the firm has taken a stick position on balance sheet. We ask that all underwriting pipeline losses are all reported in this tab, not in other templates (such as the Market Risk Stressed Profit or Loss Projections template). Field Term of loan and debt securities should not be reported for equity securities.

202101 Other_Fair_Valued_Items_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Pipeline String (255 long) Pipeline Pipeline Yes Yes
2 Historical period month String (255 long) Historicalperiod6month Historicalperiodmonth - Yes
3 Deal name String (255 long) Dealname Dealname - Yes
4 Counterparty name String (255 long) CounterpartyName - Yes
5 Country of security issuers String (255 long) Countryofsecurityissuers Countryofsecurityissuers Yes Yes
6 Term of loan and debt securities Date (YYYYMMDD) Termofloananddebtsecurities - -
7 Notional amount Float Notionalamount - -
8 Counterparty rating String (255 long) Counterpartyrating - Yes
9 Counterparty sector String (255 long) CounterpartySector - Yes
10 Credit risk CR100 String (255 long) CreditriskCR100 - Yes
11 Scenario loss/gain excluding hedging Float Scenariolossgainexcludinghedging - -
12 Scenario loss/gain including hedging Float Scenariolossgainincludinghedging - -
13 Flex fee or other loss reduction Float Flexfeeorotherlossreduction - -
14 Loss/gain excluding hedging reported in ICAAP Float LossgainexcludinghedgingreportedinICAAP - -
15 Loss/gain including hedging reported in ICAAP Float LossgainincludinghedgingreportedinICAAP - -
16 Comments on different between CST and ICAAP results String (255 long) CommentsondifferentbetweenCSTandICAAPresults - -