Stress Test Data Framework Dictionary 2021: Version 02

Model_risk

The Model Risk tab captures information related to the deduction from capital resources arising from the Model Risk AVA in each of the five years, split between Trading book and Banking book classification and further split by product portfolio. Related Fair Value Adjustment amounts should also be reported on this tab. There are separate tabs for Investing and Funding AVA and Unearned Credit Spreads AVA, so amounts related to those AVAs should be stripped out and reported separately on the relevant tabs. We request that you report zeros instead of blanks for all non mandatory fields.

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 Portfolio String (255 long) PVAportfolio PVAportfolio Yes Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 Methodology type String (255 long) Methodologytype Methodologytype Yes Yes
6 Model name String (255 long) Modelname - Yes
7 Product name String (255 long) Productname - Yes
8 Risk/parameter most relevant to model risk AVA String (255 long) RiskparametermostrelevanttomodelriskAVA - Yes
9 Model risk AVA Float ModelriskAVA - -
10 Diversifications and offsets (related to model risk AVA) Float DiversificationsandoffsetsrelatedtomodelriskAVA - -
11 Related fair value adjustment - Model risk Float RelatedfairvalueadjustmentModelrisk - -
12 Related fair value adjustment - Overhedge Float RelatedfairvalueadjustmentOverhedge - -
13 Related fair value adjustment - Other Float RelatedfairvalueadjustmentOther - -
14 Fair value assets Float Fairvalueassets - -
15 Fair value liabilities Float Fairvalueliabilities - -
16 Gross notional Float Grossnotional - -