Stress Test Data Framework Dictionary 2021: Version 02

Home

This Stress Test Data Framework Dictionary sets out the relevant data templates and enumerations permitted in these templates, together with definitions for both. It also describes the data quality rules and patterns for completing data templates. This HTML document contains a number of embedded links to help users navigate between sections and templates. The breadcrumb links at the top left of each section can also be used for this purpose. There are 43 templates for Stress Testing in 2021, the STDF dictionary contains 41 templates (see page 3 for a list of the templates). This includes the AssetLiabilityManagement template which is submitted outside Stress Test timeframes. There are 3 Portfolio Quality Return templates for Stress Testing not included in the STDF dictionary. Of the 43 Stress Testing templates, the following 27 templates form the core data set for 2021:

  1. BalanceSheetProjections
  2. CapitalAndOtherProjections
  3. CorporateSovereignFinInstCreditRisk
  4. CounterpartycreditriskRWA
  5. MarketriskandCVARWA
  6. OperationalRisk
  7. PensionsRisk
  8. RetailExcludingMortgageCredit
  9. RetailMortgageCredit
  10. StructuredFinance
  11. StructuralHedge
  12. MaterialMisconductCostsProjections
  13. MaterialMisconductCostsActuals
  14. FVORWA
  15. UKCorporateExposures
  16. Stressed_XVA_Projections
  17. Stressed_PVA_Projections
  18. Other_Fair_Valued_Items_Projections
  19. Market_Risk_Stressed_ProfitorLoss_Projections
  20. Counterparty_Credit_Risk_Losses_Projections
  21. RevenuesandCostsIBD
  22. UK_Capital_Impact_Projections
  23. OtherCapitalProjections
  24. Liquidity
  25. RetailProjections
  26. Pensioncurrencyhedge
  27. Modelriskmanagement
The term core data refers to the data that the Bank of England requires each time a concurrent stress test is run, although core data templates may be changed between stress tests. Data that are not currently labelled as ‘core’ (i.e. supplementary) are equally as important as core data. For the 2021 SST, within all projections templates only report data for the annual cyclical scenario, baseline data is not required. Contents