Stress Test Data Framework Dictionary 2021: Version 02

Totals

The Totals tab summarises the more granular information on the other tabs regarding AVAs and related Fair Value Adjustments as well as capturing the Future Administration, Early Termination and Operational Risk AVAs and Upside Uncertainty.

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 Total AVA Float TotalAVA Yes -
7 Market price uncertainty AVA Float MarketpriceuncertaintyAVA Yes -
8 Diversifications and offsets (related to market price uncertainty AVA) Float DiversificationsandoffsetsrelatedtomarketpriceuncertaintyAVA Yes -
9 Close-out cost uncertainty AVA Float CloseoutcostuncertaintyAVA Yes -
10 Diversifications and offsets (related to close out cost uncertainty AVA) Float DiversificationsandoffsetsrelatedtocloseoutcostuncertaintyAVA Yes -
11 Model risk AVA Float ModelriskAVA Yes -
12 Diversifications and offsets (related to model risk AVA) Float DiversificationsandoffsetsrelatedtomodelriskAVA Yes -
13 Concentrated positions AVA Float ConcentratedpositionsAVA Yes -
14 Unearned credit spreads AVA Float UnearnedcreditspreadsAVA Yes -
15 Diversifications and offsets (related to unearned credit spreads AVA) Float DiversificationsandoffsetsrelatedtounearnedcreditspreadsAVA Yes -
16 Investing and funding cost AVA Float InvestingandfundingcostAVA Yes -
17 Diversifications and offsets (related to investing and funding cost AVA) Float DiversificationsandoffsetsrelatedtoinvestingandfundingcostAVA Yes -
18 Future administration cost AVA Float FutureadministrationcostAVA Yes -
19 Early termination AVA Float EarlyterminationAVA Yes -
20 Operational risk AVA Float OperationalriskAVA Yes -
21 Other offsetting items Float Otheroffsettingitems Yes -
22 Upside uncertainty Float Upsideuncertainty Yes -
23 Related fair value adjustment - Price uncertainty Float RelatedfairvalueadjustmentPriceuncertainty Yes -
24 Related fair value adjustment - Bid offer Float RelatedfairvalueadjustmentBidoffer Yes -
25 Related fair value adjustment - Model risk Float RelatedfairvalueadjustmentModelrisk Yes -
26 Related fair value adjustment - Overhedge Float RelatedfairvalueadjustmentOverhedge Yes -
27 Related fair value adjustment - Liquidity Float RelatedfairvalueadjustmentLiquidity Yes -
28 Related fair value adjustment - CVA Float RelatedfairvalueadjustmentCVA Yes -
29 Related fair value adjustment - FFVA Float RelatedfairvalueadjustmentFFVA Yes -
30 Related fair value adjustment - Other Float RelatedfairvalueadjustmentOther Yes -
31 Fair value assets Float Fairvalueassets Yes -
32 Fair value liabilities Float Fairvalueliabilities Yes -
33 Gross notional Float Grossnotional Yes -