Stress Test Data Framework Dictionary 2021: Version 02

Traded_risk_capital_requirement

The ‘Market Risk and CVA RWA’ template captures the starting and projected capital requirements for Market Risk and CVA risk under the Annual cyclical stress scenario, disaggregated by risk component or calculation methodology. Please note that other traded risk related components of RWA (e.g. settlement risk and large exposures) are not captured in the traded risk templates, but are captured in other templates.

202101 MarketriskandCVARWA

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Market risk capital requirement level 1 String (255 long) Marketriskcapitalrequirementlevel1 Marketriskcapitalrequirementlevel1 Yes Yes
2 Market risk capital requirement level 2 String (255 long) Marketriskcapitalrequirementlevel2 Marketriskcapitalrequirementlevel2 Yes Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 RWA Float RWA 0.0000 Inclusive Yes -