Stress Test Data Framework Dictionary 2021: Version 02

Issuer_default

This worksheet contains those positions that are impacted by counterparty defaults generated by the scenario. This will be the total loss net of recovery for bonds held in the Trading Book that are deemed to have defaulted according to the scenario. The loss on equity and loss or gains on derivatives linked to these bonds or equities should also be recorded. Those positions that give rise to losses or gains recorded in this sheet should therefore be stripped out of the asset class / liquidity type sheets.

202101 Market_Risk_Stressed_ProfitorLoss_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Geographic region String (255 long) Marketriskgeographicregion Yes Yes
2 Organisational unit level 1 String (255 long) Organisationalunitlevel1 Yes Yes
3 Organisational unit level 2 String (255 long) Organisationalunitlevel2 Yes Yes
4 Currency of exposure String (255 long) Currency CurrencyofexposureMR Yes Yes
5 Country of issuer String (255 long) CountryofExposure Countryofissuer Yes Yes
6 Credit reference String (255 long) Creditreference Yes Yes
7 Delta Float Delta Yes -
8 Delta unit String (255 long) Deltaunit Yes -
9 Vega Float Vega - -
10 Vega unit String (255 long) Vegaunit - -
11 Scenario loss or gain Float Scenariolossorgain Yes -