Stress Test Data Framework Dictionary 2021: Version 02

Marketriskcapitalrequirementlevel2

Enumeration Definition
Internal model for incremental default and migration risk String to denote the incremental default and migration risk charge component of market risk capital as set out in the CRR Articles 372 to 376. To be used in conjunction to capital requirements level 1 / market risk field.
Own funds requirements for CVA risk advanced method non stressed VaR calibration String to denote the CVA risk capital component calculated using the advanced method and attributable to the non-stressed value-at-risk, as set out in the CRR Article 383 (https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).
Own funds requirements for CVA risk advanced method, stressed VaR calibration String to denote the CVA risk capital component calculated using the advanced method and attributable to the stressed value-at-risk, as set out in Article 383 (https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).
Own funds requirements for CVA risk standardised method String to denote the CVA risk capital component calculated using the standardised method as set out in the CRR Article 384. This string should be used in conjunction to capital requirements - level 1 / CVA risk field ( https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).
Own funds requirements for the correlation trading portfolio reported value String to denote the correlation trading portfolio capital charge component of market risk capital as set out in the CRR Article 338 or the CRR Article 377, depending on the firms' model permissions. This string should be used in conjunction to Capital Requirements - Level 1/ Market Risk field (https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).
Risks not in VaR String to denote risks-not-in-VaR component of market risk capital as set out in the supervisory statement SS13/13 for market risk Section 2. This value should reconcile with the quarterly reporting as set in Annex 2 of the firm's internal model approach permission. This string should be used in conjunction to capital requirements - level 1 / market risk field.
Standardised approach String to denote the aggregated value attributable to standardised approaches component of market risk capital as set out in the CRR Articles 325 to 361. This string should be used in conjunction to Capital Requirements - Level 1/ Market Risk (https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).
Stressed VaR String to denote the method of calculation for stressed value-at-risk capital, as set out in the CRR Article 364.1(b), with a 10-day holding period at 99th percentile level. This string should be used in conjunction to capital requirements - level 1 / market risk field (https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).
VaR String to denote the method of calculation for value-at-risk capital, as set out in the CRR Article 364.1(a), with a 10-day holding period at 99th percentile level. This string should be used in conjunction with capital requirements - level 1 / market risk field (https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/-/interactive-single-rulebook/toc/504).