202101 Stressed_PVA_Projections
Order | Field Name | Type | Enumeration | Definition | Range Bottom | Range Top | Range Scope | Mandatory | Unique |
---|---|---|---|---|---|---|---|---|---|
1 | Book type | String (255 long) | BookType | BookType | Yes | Yes | |||
2 | Scenario | String (255 long) | ScenarioACS | Scenario | Yes | Yes | |||
3 | Projection period | String (255 long) | Projectionperiod | Projectionperiod | Yes | Yes | |||
4 | Methodology type | String (255 long) | Methodologytype | Methodologytype | Yes | Yes | |||
5 | CVA methodology | String (255 long) | CVAmethodology | CVAmethodology | Yes | Yes | |||
6 | Counterparty credit risk sector | String (255 long) | CounterpartycreditrisksectorPVA | Counterpartycreditrisksector | Yes | Yes | |||
7 | External credit rating | String (255 long) | Externalcreditrating | Externalcreditrating | Yes | Yes | |||
8 | Market price uncertainty AVA | Float | MarketpriceuncertaintyAVA | - | - | ||||
9 | Close-out cost uncertainty AVA | Float | CloseoutcostuncertaintyAVA | - | - | ||||
10 | Model risk AVA | Float | ModelriskAVA | - | - | ||||
11 | Diversifications and offsets (related to unearned credit spreads AVA) | Float | DiversificationsandoffsetsrelatedtounearnedcreditspreadsAVA | - | - | ||||
12 | Related fair value adjustment - CVA | Float | RelatedfairvalueadjustmentCVA | - | - | ||||
13 | Related fair value adjustment - Other | Float | RelatedfairvalueadjustmentOther | - | - | ||||
14 | Credit risk sensitivity 0-1Y | Float | Creditrisksensitivity01Y | - | - | ||||
15 | Credit risk sensitivity 1-5Y | Float | Creditrisksensitivity15Y | - | - | ||||
16 | Credit risk sensitivity 5-10Y | Float | Creditrisksensitivity510Y | - | - | ||||
17 | Credit risk sensitivity 10-30Y | Float | Creditrisksensitivity1030Y | - | - | ||||
18 | Credit risk sensitivity >30Y | Float | Creditrisksensitivity30Y | - | - | ||||
19 | Credit spreads used in CVA 0-1Y | Float | CreditspreadsusedinCVA01Y | - | - | ||||
20 | Credit spreads used in CVA 1-5Y | Float | CreditspreadsusedinCVA15Y | - | - | ||||
21 | Credit spreads used in CVA 5-10Y | Float | CreditspreadsusedinCVA510Y | - | - | ||||
22 | Credit spreads used in CVA 10-30Y | Float | CreditspreadsusedinCVA1030Y | - | - | ||||
23 | Credit spreads used in CVA >30Y | Float | CreditspreadsusedinCVA30Y | - | - | ||||
24 | Credit spreads used in AVA 0-1Y | Float | CreditspreadsusedinAVA01Y | - | - | ||||
25 | Credit spreads used in AVA 1-5Y | Float | CreditspreadsusedinAVA15Y | - | - | ||||
26 | Credit spreads used in AVA 5-10Y | Float | CreditspreadsusedinAVA510Y | - | - | ||||
27 | Credit spreads used in AVA 10-30Y | Float | CreditspreadsusedinAVA1030Y | - | - | ||||
28 | Credit spreads used in AVA >30Y | Float | CreditspreadsusedinAVA30Y | - | - |